An Extension of "Closed-Form Solutions of Target-Tracking Filters with Discrete Measurements"

Earlier, exact closed-form solutions of the steady-state exponentially correlated velocity (ECV) and exponentially correlated acceleration (ECA) target-tracking filters were obtained via Kalman's recursive and Vaughan's nonrecursive algorithms, respectively, using a "discretized" process-noise model. This analysis is now extended to the case of the most general processnoise matrix Qk for these tracking filters.