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Covariance intersection (CI) is an algorithm for combining two or more estimates of state variables in a Kalman filter when the correlation between them is unknown.[1][2][3][4]
^Uhlmann, Jeffrey (1995). Dynamic Map Building and Localization: New Theoretical Foundations (Ph.D. thesis). University of Oxford. S2CID 47808603.
^Marques, Sonia (12 November 2007). Covariance intersection algorithm for formation flying spacecraft navigation from RF measurements(PDF). 4 ISLAB workshop.
^Julier, Simon J.; Uhlmann, Jeffrey K. (2007). "Using covariance intersection for SLAM". Robotics and Autonomous Systems. 55 (7): 3–20. CiteSeerX 10.1.1.106.8515. doi:10.1016/j.robot.2006.06.011.
^Chen, Lingji; Arambel, Pablo O.; Mehra, Raman K. (2002). Fusion under unknown correlation - Covariance intersection as a special case(PDF). International Conference on Information Fusion 2002.
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\end{aligned}}} The solution can be reformulated using elements of the covariance matrix: β ^ = s x , y s x 2 = r x y s y s x {\displaystyle {\widehat {\beta...
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exists), Σ is a positive definite matrix which is proportional to the covariance matrix if the latter exists, and g is a function mapping from the non-negative...
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function. (Also written as ctg.) coth – hyperbolic cotangent function. cov – covariance of a pair of random variables. cover – coversine function. (Also written...
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{\displaystyle \mathbb {R} ^{n}} with mean μ {\displaystyle \mu } and covariance Σ {\displaystyle \Sigma } , the normal distribution N ( μ , Σ ) {\displaystyle...