A filter for systems with stochastic covariance
Bjarne A. Foss, Finn Are Michelsen · 2002
A Kalman filter for systems with stochastic process noise covariance is suggested. This includes a suggested measurement model for the covariance measurement. It is assumed that the stochastic covariance is generated by a known state-space model driven by Gaussian white noise. The suggested Kalman filter has a partitioned structure. Simulation results are presented.>