Noise Covariances Identification by MDM: Weighting, Recursion, and Implementation
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866909421813104640 |
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| author | Kost, Oliver Dunik, Jindrch Straka, Ondrej |
| author_facet | Kost, Oliver Dunik, Jindrch Straka, Ondrej |
| contents | The problem of noise covariance matrix identification of stochastic linear time-varying state-space models is addressed. The measurement difference method (MDM) is generalized to time-varying dimensions of the measurement and control. Three MDM identification techniques that differ in weighting used in the underlying least squares method are proposed. The techniques differ in estimate quality and computational complexity. In addition, recursive forms are designed for two techniques. The performance of the proposed techniques is analyzed using two numerical examples. The implementation of techniques is enclosed with the paper. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_06373 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Noise Covariances Identification by MDM: Weighting, Recursion, and Implementation Kost, Oliver Dunik, Jindrch Straka, Ondrej Signal Processing The problem of noise covariance matrix identification of stochastic linear time-varying state-space models is addressed. The measurement difference method (MDM) is generalized to time-varying dimensions of the measurement and control. Three MDM identification techniques that differ in weighting used in the underlying least squares method are proposed. The techniques differ in estimate quality and computational complexity. In addition, recursive forms are designed for two techniques. The performance of the proposed techniques is analyzed using two numerical examples. The implementation of techniques is enclosed with the paper. |
| title | Noise Covariances Identification by MDM: Weighting, Recursion, and Implementation |
| topic | Signal Processing |
| url | https://arxiv.org/abs/2412.06373 |