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

DOI10.1002/ACS.2369MaRDI QIDQ5745669zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3997615 (Why is no real title available?)
• scientific article; zbMATH DE number 3304505 (Why is no real title available?)
• A new autocovariance least-squares method for estimating noise covariances
• Advanced point-mass method for nonlinear state estimation
• Approaches to adaptive filtering
• Estimation of noise covariance matrices for a linear time-varying stochastic process
• Filtering, predictive, and smoothing Cramér-Rao bounds for discrete-time nonlinear dynamic systems
• Identification of optimum filter steady-state gain for systems with unknown noise covariances
• Subspace methods for system identification.

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
• scientific article; zbMATH DE number 3940323 (Why is no real title available?)
• 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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