On the efficient low cost procedure for estimation of high-dimensional prediction error covariance matrices
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Publication:1679123
DOI10.1016/j.automatica.2017.06.018zbMath1373.93322MaRDI QIDQ1679123
Publication date: 8 November 2017
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2017.06.018
parameter estimation; stochastic approximation; adaptive filters; covariance matrices; filter stability; nearest Kronecker problem; prediction error sampling; separation of vertical and horizontal structures
93E11: Filtering in stochastic control theory
93C40: Adaptive control/observation systems
93E10: Estimation and detection in stochastic control theory
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Cites Work
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