Adaptive Kalman filtering

The increased power of small computers makes the use of parameter estimation methods attractive. Such methods have a number of uses in analytical chemistry. When valid models are available, many methods work well, but when models used in the estimation are in error, most methods fail. Methods based on the Kalman filter, a linear recursive estimator, may be modified to perform parameter estimation with erroneous models. Modifications to the filter involve allowing the filter to adapt the measurement model to theexperimental data through matching the theoretical and observed covoriance of the filter innovations sequence. The adaptive filtering methods that result have a number of applications in analytical chemistry.

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