{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/noise-covariances-identification-by-mdm","title":"Noise Covariances Identification by MDM: Weighting, Recursion, and Implementation","arxiv_id":"2412.06373","date":"2024-12-09","proceeding":null,"authors":["Oliver Kost","Jindrch Dunik","Ondrej Straka"],"abstract":"The problem of noise covariance matrix identification of stochastic linear time-varying state-space models is addressed. The measurement difference method (MDM) is generalized to time-varying dimensions of the measurement and control. Three MDM identification techniques that differ in weighting used in the underlying least squares method are proposed. The techniques differ in estimate quality and computational complexity. In addition, recursive forms are designed for two techniques. The performance of the proposed techniques is analyzed using two numerical examples. The implementation of techniques is enclosed with the paper.","url_abs":"https://arxiv.org/abs/2412.06373v2","url_pdf":"https://arxiv.org/pdf/2412.06373v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"noise-covariances-identification-by-mdm","repo_url":"https://github.com/IDM-UWB/MDM_SYSID2024","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":"state-space-models","task_name":"State Space Models"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}