Abstract
The paper proposed an adaptive filter for jump Markov systems with unknown measurement noise covariance. The filter is derived by treating covariance as a random matrix and an inverse-Wishart distribution is adopted as the conjugate prior. The variational Bayesian approximation method is employed to derive mode-conditioned estimates and mode-likelihood functions in the framework of interacting multiple model. A numerical example is provided to illustrate the performance of the proposed filter.
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