Formulation of a practical algorithm for parameter estimation with process and measurement noise

Abstract

A new formulation is proposed for the problem of parameter estimation in dynamic systems with both process and measurement noise. The formulation applies to continuous-time state space system models with discrete-time measurements. Previous formulations of this problem encountered several theoretical and practical difficulties which are overcome by the new formulation. The most important element of the new formulation is a reparameterization of the unknown noise covariances. A computer program that implements the new formulation is available.