Estimation of Time-Varying Parameters of Regression-Type Linear Systems
Nanayo FURUMOTO, Toshiaki Tabuchi · Transactions of the Society of Instrument and Control Engineers · 1991
A selection method of noise covariances Q and ƒÐ2 is developed to the estimation of time-varying parameters based on Kalman filter.Especially, the selected value of Q is obtained by solving some Riccati algebraic equation.