Abstract
For linear state space model, the covariance matrix setting errors of process and measurement noise deteriorate the estimation performance of Rauch–Tung–Striebel (RTS) smoother. To address this problem, the Markov Chain Monte Carlo is utilized to sample the state vector and noise covariance matrices simultaneously in this study. The Gibbs sampler is adopted and the corresponding adaptive RTS smoother is designed. Simulation results confirm the performance of proposed smoother.
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