Adaptive-gain-and-tau tracking filters for correlated target maneuvers

The so-called adaptive-gain-and-tau filter extends a recently suggested adaptive-gain tracking filter to a case with correlated target maneuver. The transition matrix of an appropriate Kalman filter (KF) depends on the maneuver correlation time, and the associated with this KF transfer function specifies the ARMA coefficients coupling the correlation time and the KF gain. Due to this link, one adaptation scheme is based on the ARMA identification. Another form of the adaptive filter represents a joint parameter/state estimator. Simulations undertaken for tracking filters of orders 2-4 illustrate their behavior and compare adaptively found parameters to optimal.