An efficient algorithm for estimating noise covariances in distributed systems
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Publication:3705338
DOI10.1109/TAC.1985.1103837zbMath0581.93072MaRDI QIDQ3705338
Michael Ghil, Amnon Dalcher, S. E. Cohn, Dick P. Dee
Publication date: 1985
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
convergenceadaptive filtering algorithmnoise covariance matriceslarge linear discrete stochastic-dynamic systems
Analysis of algorithms and problem complexity (68Q25) Filtering in stochastic control theory (93E11) Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Probabilistic methods, stochastic differential equations (65C99)
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