State-Space Model and Kalman Filter Gain Identification by a Kalman Filter of a Kalman Filter
2017 ◽
Vol 140
(3)
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This paper describes an algorithm that identifies a state-space model and an associated steady-state Kalman filter gain from noise-corrupted input–output data. The model structure involves two Kalman filters where a second Kalman filter accounts for the error in the estimated residual of the first Kalman filter. Both Kalman filter gains and the system state-space model are identified simultaneously. Knowledge of the noise covariances is not required.
1995 ◽
Vol 117
(2)
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pp. 232-239
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2005 ◽
Vol 128
(3)
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pp. 746-749
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2005 ◽
Vol 41
(3)
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pp. 242-249
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2019 ◽
Vol 15
(5)
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pp. 2763-2774
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2019 ◽
Vol 66
(8)
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pp. 2152-2162
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