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For many applications, it is necessary to know the covariance matrix of the measurement noise. This becomes particularly important when the covariance matrix of the measurement noise is time-invariant. A Kalman filter is also suitable for estimating this covariance. The ROSE filter takes advantage of exactly this method to determine the covariance matrix \(\underline{R}\) .

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Example: Covariance Matrix of Measurement Noise

  • 章节

  • 发表日期：

    2026年

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  • Sebastian Dingler,
  • Reiner Marchthaler

摘要

For many applications, it is necessary to know the covariance matrix of the measurement noise. This becomes particularly important when the covariance matrix of the measurement noise is time-invariant. A Kalman filter is also suitable for estimating this covariance. The ROSE filter takes advantage of exactly this method to determine the covariance matrix \(\underline{R}\) .