Adaptive filter for systems with unknown noise covariances using an instrumental performance functional (Q1974988)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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