Marginal Covariance of Parameters in New Observations

preprint2020arXivOpen access

Abstract

We have observed a common problem of solving for the marginal covariance of parameters introduced in new observations. This problem arises in several situations, including augmenting parameters to a Kalman filter, and computing weight for relative pose constraints. To handle this problem, we derive a solution in a least squares sense. The solution is applied to the above two instance situations and verified by independently reported results.

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