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

0422958 - ÚTIA 2015 RIV GB eng J - Journal Article
Pavelková, Lenka - Kárný, Miroslav
State and parameter estimation of state-space model with entry-wise correlated uniform noise.
International Journal of Adaptive Control and Signal Processing. Roč. 28, č. 11 (2014), s. 1189-1205. ISSN 0890-6327. E-ISSN 1099-1115
R&D Projects: GA TA ČR TA01030123; GA ČR GA13-13502S
Institutional research plan: CEZ:AV0Z1075907
Keywords : state-space models * bounded noise * filtering problems * estimation algorithms * uncertain dynamic systems
Subject RIV: BC - Control Systems Theory
Impact factor: 1.346, year: 2014
http://library.utia.cas.cz/separaty/2014/AS/pavelkova-0422958.pdf

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.
Permanent Link: http://hdl.handle.net/11104/0230623