Transactions of the Society of Instrument and Control Engineers
Online ISSN : 1883-8189
Print ISSN : 0453-4654
ISSN-L : 0453-4654
Estimation of Time-Varying Parameters of Regression-Type Linear Systems
Nanayo FURUMOTO, Toshiaki TABUCHI
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Keywords: parameter estimation, Kalman filter, noise covariance estimation, algebraic Riccati equation, AIC
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1991 Volume 27 Issue 7 Pages 843-845

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Abstract
A selection method of noise covariances Q and σ2 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.
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