Title :
Digital tracking filters with high order correlated measurement noise
Author_Institution :
Stanford Univ., CA, USA
Abstract :
The existing algorithms for the design of digital filters with colored measurement noise involve a restriction on the dimension of the measurement error model. Kalman filter equations and state space partition are used to formulate an optimal tracking filter without such restrictions. The input to the new filter are two consecutive measurements, and it is initialized by using the first available measurements and the error model correlation matrix. Several examples illustrate the filter formulation and initialization.
Keywords :
Kalman filters; correlation methods; digital filters; matrix algebra; measurement errors; network synthesis; random noise; state-space methods; tracking filters; Kalman filter equations; Monte Carlo simulation; design of digital filters; digital tracking filters; error model correlation matrix; filter formulation; high order correlated measurement noise; initialization; measurement error model; measurement noise; optimal tracking filter; state space partition; Aerodynamics; Colored noise; Digital filters; Equations; Global Positioning System; Measurement errors; Noise measurement; Radar tracking; Target tracking; Vectors; White noise;
Journal_Title :
Aerospace and Electronic Systems, IEEE Transactions on
