Adaptive filter for systems with unknown noise covariances using an instrumental performance functional (Q1974988)
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scientific article; zbMATH DE number 1425280
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| English | Adaptive filter for systems with unknown noise covariances using an instrumental performance functional |
scientific article; zbMATH DE number 1425280 |
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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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0.8989647
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0.87807554
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0.8768053
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0.8741917
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0.86795276
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0.8672687
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0.8670967
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