Kalman-filter-based time-varying parameter estimation via retrospective optimization of the process noise covariance
Frantisek M. Sobolic, Dennis S. Bernstein · 2016
Retrospective estimation of the process noise covariance is performed by minimizing the cumulative state-estimation error based on the innovations. This technique is applied to parameter estimation problems, where the parameters to be estimated are time-varying and thus do not fit in the classical Kalman filter noise structure. This technique is compared to the standard Kalman filter with a fixed process noise covariance as well as an innovations-based adaptive Kalman filter.