Correlated Noise Characteristics Estimation for Linear Time-Varying Systems

Abstract

The paper deals with the estimation of characteristics of the state and measurement noises of a system described by the linear time-varying state space model, where the state and measurement noises can be either mutually correlated or correlated in time. In particular, a novel correlation measurement difference method is designed. The method, which may provide unbiased estimates, is based on a statistical analysis of the prediction error of an augment measurement vector leading into a system of linear equations. The theoretical results are thoroughly discussed and illustrated in numerical examples.