Self-Tuning Filter for the System with Unknown Colored Noise

This paper presents a kind of self-tuning filter in the colored noise environment when the noise variance is unknown. The main method of this filter is whitening the colored noise, and the correlation function is used to get the estimations of the variance of the noise. An example for the target tracking system is presented to design the self-tuning filter for the position and velocity, the simulating results show the good convergence to the corresponding optimal filter.