A Generalized Autocovariance Least-Squares Method for Covariance Estimation
Bernt M. Åkesson, John Bagterp Jørgensen, Sten Bay Jørgensen · 2007
A generalization of the autocovariance least- squares method for estimating noise covariances is presented. The method can estimate mutually correlated system and sensor noise and can be used with both the predicting and the filtering form of the Kalman filter.