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
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;
Conference_Titel :
American Control Conference, 2007. ACC '07
Conference_Location :
New York, NY
Print_ISBN :
1-4244-0988-8
Electronic_ISBN :
0743-1619
DOI :
10.1109/ACC.2007.4282878
