(英) On the Uniqueness of the Estimate of Innovations Model (日)
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(英) In this paper, a sufficient condition for identifying the Kalman gain and the covariance matrix of the innovations process is derived. Under the condition, the innovations model can uniquely be estimated in a generic sense by solving a semidefinite programming problem proposed in the previous work of one of the authors. A numerical simulation illustrates the consistency of the proposed estimate. (日)
Kenji IkedaandHideyuki Tanaka : On the Uniqueness of the Estimate of Innovations Model, Proceedings of the ASCC2019, (巻), (号), 1313-1318, Kitakyushu, June 2019.
欧文冊子 ●
Kenji IkedaandHideyuki Tanaka : On the Uniqueness of the Estimate of Innovations Model, Proceedings of the ASCC2019, (巻), (号), 1313-1318, Kitakyushu, June 2019.
関連情報
Number of session users = 0, LA = 0.49, Max(EID) = 373285, Max(EOID) = 998648.