Noise covariance estimation for Kalman filter tuning using Bayesian approach and Monte Carlo

DOI10.1002/ACS.2369zbMATH Open1282.93245OpenAlexW2152676624MaRDI QIDQ5745669FDOQ5745669

Authors: Peter Matisko, Vladimír Havlena 

Publication date: 30 January 2014

Published in: International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/acs.2369

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zbMATH Keywords

Kalman filterMonte CarloBayesian approachnoise covariance estimationadaptive Kalman filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Filtering, predictive, and smoothing Cramér-Rao bounds for discrete-time nonlinear dynamic systems
• Subspace methods for system identification.
• Estimation of noise covariance matrices for a linear time-varying stochastic process
• A new autocovariance least-squares method for estimating noise covariances
• Approaches to adaptive filtering
• Advanced point-mass method for nonlinear state estimation
• Identification of optimum filter steady-state gain for systems with unknown noise covariances

Cited In (9)

• Adaptive Kalman filtering for closed-loop systems based on the observation vector covariance
• Process noise covariance estimation via stochastic approximation
• Estimation of noise covariance matrices for periodic systems
• State and parameter estimation of state-space model with entry-wise correlated uniform noise
• Approximate Gaussian variance inference for state-space models
• Noise covariance matrix estimation with subspace model identification for Kalman filtering
• Title not available (Why is that?)
• Noise covariance identification for time-varying and nonlinear systems
• Model error estimation using the expectation maximization algorithm and a particle flow filter

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