On the errors-in-variables extended Kalman filter

Motivation for this paper stems from the need to deal with systems in which uncertainty exists on the measured signals and in the parameters of an assumed system model of known structure, and/or where the LTI assumption no longer holds. The potential of the a approach presented here is demonstrated when it is applied to a system in the presence of both an imposed mismatch in the model parameters as well the case of time-varying parameters. The effectiveness of the new EIV-EKF procedure is compared with that of an EIV Kalman filter, and evaluated on both single-input single-output and multiple-input multiple-output systems.