DocumentCode
3171788
Title
A Generalized Autocovariance Least-Squares Method for Covariance Estimation
Author
Åkesson, Bernt M. ; Jørgensen, John Bagterp ; Jørgensen, Sten Bay
Author_Institution
Tech. Univ. of Denmark, Lyngby
fYear
2007
fDate
9-13 July 2007
Firstpage
3713
Lastpage
3714
Abstract
A generalization of the autocovariance least- squares method for estimating noise covariances is presented. The method can estimate mutually correlated system and sensor noise and can be used with both the predicting and the filtering form of the Kalman filter.
Keywords
Kalman filters; correlation methods; covariance matrices; least squares approximations; noise; Kalman filter; generalized autocovariance least-squares method; mutually correlated system; sensor noise covariance estimation; Chemical engineering; Chemical sensors; Cities and towns; Filtering; Filters; Informatics; Mathematical model; Riccati equations; Sensor systems; State estimation; Covariance estimation; optimal estimation; state estimation;
fLanguage
English
Publisher
ieee
Conference_Titel
American Control Conference, 2007. ACC '07
Conference_Location
New York, NY
ISSN
0743-1619
Print_ISBN
1-4244-0988-8
Electronic_ISBN
0743-1619
Type
conf
DOI
10.1109/ACC.2007.4282878
Filename
4282878
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