Continuous-time ECV and ECA track filters with colored measurement noise

Analytical solutions are presented for two continuous-time track filters with correlation in both the measurement errors and the target maneuvers. The measurement error model is a first-order Markov process, characterized by a correlation time (γ) and a position error variance (r). The target motion is described by one of two dynamic models: the exponentially correlated velocity (ECV) model, and the exponentially correlated acceleration (ECA) model. For both models, the steady-state velocity variance exhibits resonant behavior. The analytical solutions include as special cases several previously published results