摘要
在卡尔曼滤波中,用传统的赫尔默特法进行方差估计时,不仅计算公式复杂,而且计算量非常大.基于广义最小二乘法导出的滤波公式,根据赫尔默特方差估计的基本原理,推导出了用预测残差向量进行方差估计的新公式.与传统的方差估计公式相比较,新公式不仅形式简单,而且大大减少了方差估计的计算量.
When the variances of observations are estimated with the traditional Helmert method in Kalman filtering, the estimation formula is very complex with a large amount of calculation. According to the filtering formula deduced by the generalized least squares method and the fundamental principle of Helmert variance estimation, a new variance estimation formula with forecast residual vector is deduced. Compared with the traditional estimation formula, the new one is simpler with less calculation.
出处
《武汉大学学报（工学版）》
CAS
CSCD
北大核心
2004年第4期28-31,共4页
Engineering Journal of Wuhan University
关键词
卡尔曼滤波
残差向量
方差估计
Kalman filtering
residual vector
variance estimation
