ACT research report series: A note on a relationship between covariance matrices and consistently estimated variance components

1995 ◽  
Author(s):  
David J. Woodruff
Keyword(s):  
Variance Components ◽  
Covariance Matrices ◽  
Research Report

An Adaptive Kalman Filter Based on Sage Windowing Weights and Variance Components

2003 ◽  
Vol 56 (2) ◽  
pp. 231-240 ◽  
Author(s):  
Yuanxi Yang ◽  
Tianhe Xu
Keyword(s):  
Kalman Filter ◽  
Adaptive Filtering ◽  
Variance Components ◽  
Covariance Matrices ◽  
Adaptive Kalman Filter ◽  
Dynamic States

In this paper a brief review of Sage adaptive filtering is followed by an analysis of the shortcomings of covariance matrices formed by windowing residual vectors, innovation vectors and correction vectors of the dynamic states. A new adaptive Kalman filter is developed by combining the Sage filter and the variance components and its use tested against various other schemes.

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