A Generalized Autocovariance Least-Squares Method for Covariance Estimation

Bernt Magnus Åkesson, John Bagterp Jørgensen, Niels Kjølstad Poulsen, Sten Bay Jørgensen

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A generalization of the autocovariance least- squares method for estimating noise covariances is presented. The method can estimate mutually correlated system and sensor noise and can be used with both the predicting and the filtering form of the Kalman filter.
Original languageEnglish
Title of host publicationAmerican Control Conference 2007
Publication date2007
ISBN (Print)1-4244-0988-8
Publication statusPublished - 2007
EventAmerican Control Conference 2007 - New York City, United States
Duration: 11 Jul 200713 Jul 2007


ConferenceAmerican Control Conference 2007
CountryUnited States
CityNew York City
Internet address

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