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Bibliografie

Journal Article

State and parameter estimation of state-space model with entry-wise correlated uniform noise

Pavelková Lenka, Kárný Miroslav

: International Journal of Adaptive Control and Signal Processing vol.28, 11 (2014), p. 1189-1205

: CEZ:AV0Z1075907

: TA01030123, GA TA ČR, GA13-13502S, GA ČR

: state-space models, bounded noise, filtering problems, estimation algorithms, uncertain dynamic systems

: 10.1002/acs.2438

: http://library.utia.cas.cz/separaty/2014/AS/pavelkova-0422958.pdf

(eng): Joint parameter and state estimation is proposed for linear state-space model with uniform, entry-wise correlated, state and output noises (LSU model for short). The adopted Bayesian modelling and approximate estimation produce an estimator that (a) provides the maximum a posteriori estimate enriched by information on its precision, (b) respects correlated noise entries without demanding the user to tune noise covariances, and (c) respects bounded nature of real-life variables.

: BC