Extending the IMM filter to Heterogeneous-Order state space models

An extension of the celebrated Interacting Multiple Model (IMM) filter is proposed so as to handle a bank of models with state vectors of heterogeneous size and meaning. The derivation of the IMMHO (IMM Heterogeneous-Order) filter is exposed. It is argued that a component-wise cooperation strategy leads to a sound and versatile solution. Simulation results in the context of satellite telemetry, for which the prior dynamics of the moving target is poorly known, show that the filter is well-behaved, with adequate operation across the various modes. All the theoretical background is provided so that the paper is self-contained.