Kullback–Leibler divergence for interacting multiple model estimation with random matrices
نویسندگان
چکیده
منابع مشابه
Kullback-Leibler divergence for interacting multiple model estimation with random matrices
This paper studies the problem of interacting multiple model (IMM) estimation for jump Markov linear systems with unknown measurement noise covariance. The system state and the unknown covariance are jointly estimated in the framework of Bayesian estimation, where the unknown covariance is modeled as a random matrix according to an inverse-Wishart distribution. For the IMM estimation with rando...
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ژورنال
عنوان ژورنال: IET Signal Processing
سال: 2016
ISSN: 1751-9675,1751-9683
DOI: 10.1049/iet-spr.2015.0149