A Tool for Kalman Filter Tuning
نویسندگان
چکیده
The Kalman filter requires knowledge about the noise statistics. In practical applications, however, the noise covariances are generally not known. In this paper, a method for estimating noise covariances from process data has been investigated. This method yields least-squares estimates of the noise covariances, which can be used to compute the Kalman filter gain.
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