Estimation of a dispersion parameter in discrete Kalman filtering

DOI10.1109/TAC.1974.1100543MaRDI QIDQ4401296zbMATH OpenOpenAlexFDO

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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