Computation of the factorized error covariance of the difference between correlated estimators

A state estimation problem where some of the measurements may be common to two or more data sets is considered. Two approaches for computing the error covariance of the differences between filtered estimates (for each data set) are discussed. The first algorithm is based on postprocessing of the Kalman gain profiles of two correlated estimators. It uses UD factors of the covariance of the relative error. The second algorithm uses a square root information filter applied to relative error analysis. In the absence of process noise, the square root information filter is computationally more efficient and more flexible than the Kalman gain (covariance update) method. Both the algorithms (covariance and information matrix based) are applied to a Venus orbiter simulation and their performances are compared.<
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