Analytical solution for continuous-time Kalman tracking filters with colored measurement noise in frequency domain

New expressions are given for analytical solutions to the steady-state Kalman gains of the two-state exponentially correlated velocity (ECV) and the three-state exponentially correlated acceleration (ECA) tracking filters with position measurements by using spectral factorization method. The measurement colored noise model is characterized by a correlation time 1//spl lambda/. The vehicle oscillations such as wind-induced-bending is also considered in the modeling of the system which leads to the most generalized state transition matrix.<
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