On the efficient low cost procedure for estimation of high-dimensional prediction error covariance matrices
DOI10.1016/j.automatica.2017.06.018zbMath1373.93322OpenAlexW2733422656MaRDI QIDQ1679123
Publication date: 8 November 2017
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2017.06.018
parameter estimationstochastic approximationadaptive filterscovariance matricesfilter stabilitynearest Kronecker problemprediction error samplingseparation of vertical and horizontal structures
Filtering in stochastic control theory (93E11) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10)
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