Title :
Estimation of a dispersion parameter in discrete Kalman filtering
Author :
Iglehart, Stephen C. ; Leondes, Cornelius T.
Author_Institution :
Hughes Aircraft Company, Culver City, CA, USA
fDate :
6/1/1974 12:00:00 AM
Abstract :
In the application of the discrete Kalman filter, it occasionally happens that one of the noise covariance matrices is known except for a scalar multiplier. Algorithms are derived to estimate such a parameter using the covariance-matching technique.
Keywords :
Kalman filtering; Linear systems, time-varying discrete-time; Parameter estimation; Uncertain systems; Argon; Cities and towns; Covariance matrix; Filtering; Iterative algorithms; Kalman filters; Parameter estimation; Uncertainty; Yield estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1974.1100543
