Measurement Feedback Self‐Tuning Weighted Measurement Fusion Kalman Filter for Systems with Correlated Noises

Abstract

For the linear discrete stochastic systems with multiple sensors and unknown noise statistics, an online estimators of the noise variances and cross‐covariances are designed by using measurement feedback, full‐rank decomposition, and weighted least squares theory. Further, a self‐tuning weighted measurement fusion Kalman filter is presented. The Fadeeva formula is used to establish ARMA innovation model with unknown noise statistics. The sampling correlated function of the stationary and reversible ARMA innovation model is used to identify the noise statistics. It is proved that the presented self‐tuning weighted measurement fusion Kalman filter converges to the optimal weighted measurement fusion Kalman filter, which means its asymptotic global optimality. The simulation result of radar‐tracking system shows the effectiveness of the presented algorithm.