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Latest revision as of 15:14, 29 May 2024

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Adaptive filter for systems with unknown noise covariances using an instrumental performance functional
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    Adaptive filter for systems with unknown noise covariances using an instrumental performance functional (English)
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    27 March 2000
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    The paper considers the problem of joint state and parameter estimation for discrete-time quasi-stationary linear systems. The proposed algorithms are based on an instrumental performance functional and provide a suitable start-stop rule for the adaptation section. The case of a nonsingular observation matrix is examined in detail and a numerical simulation is finally considered.
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    adaptive filtering
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    unknown noise covariance
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    joint state-parameter estimation
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