Abstract
In this paper, the state least‐squares linear estimation problem from correlated uncertain observations coming from multiple sensors is addressed. It is assumed that, at each sensor, the state is measured in the presence of additive white noise and that the uncertainty in the observations is characterized by a set of Bernoulli random variables which are only correlated at consecutive time instants. Assuming that the statistical properties of such variables are not necessarily the same for all the sensors, a recursive filtering algorithm is proposed, and the performance of the estimators is illustrated by a numerical simulation example wherein a signal is estimated from correlated uncertain observations coming from two sensors with different uncertainty characteristics.
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