On the efficient low cost procedure for estimation of high-dimensional prediction error covariance matrices

DOI10.1016/j.automatica.2017.06.018zbMath1373.93322OpenAlexW2733422656MaRDI QIDQ1679123

Hong Son Hoang, Rémy Baraille

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

zbMATH Keywords

parameter estimationstochastic approximationadaptive filterscovariance matricesfilter stabilitynearest Kronecker problemprediction error samplingseparation of vertical and horizontal structures

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10)

Related Items (1)

A simple numerical method based simultaneous stochastic perturbation for estimation of high dimensional matrices

Uses Software

• EnKF
• HYCOM

Cites Work

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