State and parameter estimation of state-space model with entry-wise correlated uniform noise
نویسندگان
چکیده
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. Copyright © 2013 John Wiley & Sons, Ltd.
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