Testing the covariance matrix of a renovating sequence under operating control of the Kalman filter

MaRDI QIDQ1287612zbMATH OpenFDO

Authors Ch. M. Gadzhiev

Publication date 2 March 2000

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

covariance matrixWishart matrixdetection of failurealgorithmic control of the Kalman filterinnovation sequence of the Kalman filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

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Cited in

(6)

• A Chi-square test for fault-detection in Kalman filters
• Dynamic systems diagnosis based on Kalman-filter updating sequences
• New Kalman filter and smoother consistency tests
• Computation of a Test Statistic in Data Quality Control
• Online tests of Kalman filter consistency
• Testing the covariance matrix of the innovation sequence with sensor/actuator fault detection applications

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