Unscented Kalman-Bucy filtering for nonlinear continuous-time systems with multiple delayed measurements

The unscented Kalman-Bucy filter (UKBF) is developed to nonlinear continuous-time systems with multiple delayed measurements. An explicit and simpler solution to the unscented Kalman-Bucy filtering problem is presented for such systems. The approach applied is the reorganized innovation analysis. The obtained UKBF is given in terms of Riccati differential equations. A numerical example is given to demonstrate the proposed approach.