A new form of the extended Kalman filter for parameter estimation in linear systems with correlated noise

DOI10.1109/TAC.1980.1102269zbMATH Open0465.93080OpenAlexW2086940713MaRDI QIDQ3917992FDOQ3917992

Authors: V. Panuska 

Publication date: 1980

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1980.1102269

zbMATH Keywords

extended Kalman filterextended least squares methodlinear system with correlated noiseminimum variance propertiesGauss-Markov time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11)

Cited In (9)

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• Identification of ‘ moving average’ plants under unobservable disturbances
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• Hierarchical linear dynamical systems for unsupervised musical note recognition
• Parameter identification method for SINS initial alignment under inertial frame
• Non-convergence of the approximate maximum likelihood identification algorithm
• A theoretical analysis of recursive identification methods
• Unknown input observer design of switched systems based on iterative learning
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