Wavelet linear density estimator for a discrete-time stochastic process: Lp-losses

Estimation of noise covariance matrices

Estimation of noise covariance matrices for a linear time-varying stochastic process

✍ Pierre R. Bélanger 📂 Article 📅 1974 🏛 Elsevier Science 🌐 English ⚖ 555 KB

An algorithm is given to estimate the noise eovariance matrices for a linear, discrete, time-varying stochastic system. If these matrices are linear with respect to a set of aparameters, it is found that the correlation products of the innovations sequence is also linear in these parameters. The fac