State and parameter estimation of state‐space model with entry‐wise correlated uniform noise
Lenka Pavelková, Miroslav Kárný · International Journal of Adaptive Control and Signal Processing · 2013
SUMMARY 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.