Measurement Difference Method: A Universal Tool for Noise Identification
Oliver Kost, Jindřich Duník, Ondřej Straka
Abstract
This article deals with noise identification of a system described by the linear time-varying state-space model using correlation methods. In particular, the stress is laid on the measurement difference method (MDM) as a universal tool allowing estimation of moments and parameters of the state and measurement noises. The recent results are summarized in a common framework and the full (and weighted) MDM implementation is developed. This implementation provides unbiased and weakly consistent estimate of an arbitrary raw or central moment of the state and measurement noises. The performance of the method is shown in a numerical study.
Topics & Concepts
Noise (video)Identification (biology)Moment (physics)Noise measurementSystem identificationState spaceComputer scienceState (computer science)Control theory (sociology)AlgorithmMathematicsMeasure (data warehouse)StatisticsNoise reductionPhysicsArtificial intelligenceControl (management)Data miningClassical mechanicsBiologyImage (mathematics)BotanyControl Systems and IdentificationFault Detection and Control SystemsTarget Tracking and Data Fusion in Sensor Networks