Sequential fusion estimation for Markov jump systems with heavy-tailed noises

Abstract

We study a sequential fusion estimation problem for Markov jump multi-sensor systems with heavy-tailed noises. By modelling the noises as Student's t distributions, a sequential fusion estimation algorithm is designed by utilising the interacting multiple model method and Bayes' rule. To improve the robustness against measurement outliers caused by measurement heavy-tailed noise, an F-distribution detection strategy is designed to detect and reject the measurement outliers. Simulation results demonstrate that the designed sequential fusion estimation algorithm can effectively fuse the measurements from multiple sensors, and the accuracy of the designed algorithm is superior to the existing interacting multiple model Student's t batch fusion algorithm and single model adaptive Student's t batch fusion algorithm when there exist model switching and disturbances with heavy-tailed property.