Cramér-Rao bounds for estimation of linear system noise covariances

Volume: 44, Issue: 1, Pages: 7791 - 7796
Published: Jan 1, 2011
Abstract
null The performance of Kalman filter depends directly on the noise covariances, which are usually not known and need to be estimated. Several estimation algorithms have been published in past decades, but the measure of estimation quality is missing. Cramer-Rao bounds represent limitation of quality of parameter estimation that can be obtained from given data. In this article, Cramer-Rao bounds for noise covariance estimation of linear...
Paper Details
Title
Cramér-Rao bounds for estimation of linear system noise covariances
Published Date
Jan 1, 2011
Volume
44
Issue
1
Pages
7791 - 7796
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