Adaptive filter for systems with unknown noise covariances using an instrumental performance functional

DOI10.1007/BF02404121zbMath0940.93071MaRDI QIDQ1974988

I. V. Semushin, Eugene V. Dulov

Publication date: 27 March 2000

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

zbMATH Keywords

adaptive filteringjoint state-parameter estimationunknown noise covariance

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Analysis of discrete-time Kalman filtering under incorrect noise covariances
• Identification of linear dynamic systems
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