On Autocovariance Least-Squares Method for Noise Covariance Matrices Estimation

The technical note focuses on the estimation of the noise covariance matrices of the state space models. Stress is laid on the autocovariance least-squares method providing unbiased estimates of the noise covariance matrices of linear systems. In particular, two topics are discussed; first, selection of the predictor gain as a key parameter of the method, second, generalization of the method for linear systems with a time-varying measurement equation. The theoretical results are illustrated in numerical examples.