Estimation of a dispersion parameter in discrete Kalman filtering
- 1 June 1974
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 19 (3) , 262-263
- https://doi.org/10.1109/tac.1974.1100543
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
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