A Generalized Autocovariance Least-Squares Method for Covariance Estimation

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Abstract

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
PublisherIEEE
Publication date2007
ISBN (Print)1-4244-0988-8
DOIs
Publication statusPublished - 2007
EventAmerican Control Conference 2007 - New York City, United States
Duration: 11 Jul 200713 Jul 2007
http://a2c2.org/conferences/acc2007/

Conference

ConferenceAmerican Control Conference 2007
Country/TerritoryUnited States
CityNew York City
Period11/07/200713/07/2007
Internet address

Bibliographical note

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