On the estimation of the covariance of the continuous multiplicative systems |
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Authors: | Chien-Hua Lee |
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Institution: | Department of Electrical Engineering, Cheng-Shiu University, Kaohsiung 833, Taiwan, ROC |
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Abstract: | This paper addresses the estimation problem for the steady state and error covariances of continuous systems subjected to additive and multiplicative noise. Several upper and lower matrix bounds of these covariances are developed. Comparing to existing results, these obtained bounds are more general. Furthermore, it is also shown that they are sharper for some case(s). |
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Keywords: | Matrix bound Covariance Multiplicative system |
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