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12.540 Principles of the Global
Positioning System
Lecture 12
Prof. Thomas Herring
Estimation
• Summary
– Examine correlations
– Process noise
• White noise
• Random walk
• First-order Gauss Markov Processes
– Kalman filters – Estimation in which the parameters
to be estimated are changing with time
⎡ σ ne ⎤ ⎡ λ2 − σ e2⎤
Eigenvectors: ⎢ 2⎥
and ⎢ ⎥
⎣ λ1 − σ n ⎦ ⎣ σ ne ⎦
03/22/06 12.540 Lec 12 5
Error ellipses
ρ = −2ln(1− P)
8
Error Ellipses shown
Covariance 6 1-sigma 40%
2.45-sigma 95%
3.03-sigma 99%
22 4 3.72-sigma 99.9%
24 2
Eigenvalues
Var2
0
0.87 and -2
3.66,
-4
Angle -63o
-6
-8
-8.0 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0
Var1
∫
1
ϕ xx (τ ) = lim T → ∞ x ( t ) x ( t + τ ) dt
2T
∞
PSD Φxx (ω ) = ∫ϕ xx (τ )e −iωτ
dτ
−∞