PowerPointPresentation-12.540PrinciplesoftheGlobal.pptVIP

3/29/10 12.540 Lec 12 *12.540 Lec 12 * * *12.540 Lec 12 *12.540 Lec 12 *12.540 Lec 12 * *12.540 Lec 12 *12.540 Lec 12 *12.540 Lec 12 *12.540 Lec 12 *12.540 Lec 12 3/29/10 12.540 Lec 12 12.540 Principles of the Global Positioning SystemLecture 12 Prof. Thomas Herring Room 54-618; 253-5941 tah@ /~tah/12.540 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 Correlations Statistical behavior in which random variables tend to behave in related fashions Correlations calculated from covariance matrix. Specifically, the parameter estimates from an estimation are typically correlated Any correlated group of random variables can be expressed as a linear combination of uncorrelated random variables by finding the eigenvectors (linear combinations) and eigenvalues (variances of uncorrelated random variables). Eigenvectors and Eigenvalues The eigenvectors and values of a square matrix satisfy the equation Ax=lx If A is symmetric and positive definite (covariance matrix) then all the eigenvectors are orthogonal and all the eigenvalues are positive. Any covariance matrix can be broken down into independent components made up of the eigenvectors and variances given by eigenvalues. One method of generating samples of any random process (ie., generate white noise samples with variances given by eigenvalues, and transform using a matrix made up of columns of eigenvectors. Error ellipses One special case is error ellipses. Normally coordinates (say North and East) are correlated and we find a linear combinations of North and East that are uncorrelated. Given their covariance matrix we have: Error ellipses These equations are often written explicitly as: The size of the ellipse such that there is P (0-1) probability of being inside is Error ellipses There is only 40% chance of being in 1-sigma error (compared to 68%