A higher order correlation unscented Kalman filter

DOI10.1016/j.amc.2013.03.019zbMath1287.93093arXiv1207.4300OpenAlexW2963462742MaRDI QIDQ2453299

Oliver Grothe

Publication date: 6 June 2014

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.4300

zbMATH Keywords

nonlinear systemsvolatility estimationunscented Kalman filtercontinuous-discrete state spaceestimation of uncorrelated statessequential parameter estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

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Recursive and iterative least squares parameter estimation algorithms for observability canonical state space systems ⋮ A robust meta-heuristic adaptive Bi-CGSTAB algorithm to online estimation of a three DoF state–space model in the presence of disturbance and uncertainty

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