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Digital tracking filters with high order correlated measurement noise

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1 Author(s)
R. Gazit ; Stanford Univ., CA, USA

The existing algorithms for the design of digital filters with colored measurement noise involve a restriction on the dimension of the measurement error model. Kalman filter equations and state space partition are used to formulate an optimal tracking filter without such restrictions. The input to the new filter are two consecutive measurements, and it is initialized by using the first available measurements and the error model correlation matrix. Several examples illustrate the filter formulation and initialization.

Published in:

IEEE Transactions on Aerospace and Electronic Systems  (Volume:33 ,  Issue: 1 )