Estimation of a dispersion parameter in discrete Kalman filtering

DOI10.1109/TAC.1974.1100543zbMATH Open0275.93043OpenAlexW2005477509MaRDI QIDQ4401296FDOQ4401296

Authors: Stephen C. Iglehart, Cornelius T. Leondes 

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1109/tac.1974.1100543

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Cited In (5)

• Analysis of continuous-time Kalman filtering under incorrect noise covariances
• On the estimation of noise covariances in linear discrete-time systems
• Accurate derivative estimation from noisy data: a state-space approach
• Tracking of multiple target types with a single neural extended Kalman filter
• Likelihood ratio test for estimation of time-varying systems

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