An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator.
Elias David Niño RuizLuis GuzmanDaladier JabbaPublished in: J. Comput. Appl. Math. (2021)
Keyphrases
- kalman filter
- covariance matrix
- kalman filtering
- covariance matrices
- estimation error
- principal component analysis
- sample size
- neural network
- state estimation
- object tracking
- particle filter
- maximum likelihood
- geometrical interpretation
- state space model
- extended kalman filter
- least squares
- eigenvalues and eigenvectors
- correlation matrix
- objective function
- recursive least squares
- particle filtering
- maximum a posteriori
- em algorithm
- video sequences