Performance of the interacting multiple model filter under high measurement rates

Interacting Multiple Model (IMM) is one of the most successful techniques proposed for maneuvering target tracking. The method works as a filter bank where each model represents a possible target motion and knows how the other models perform. One of the performance parameters, perhaps the least attended, is the predetermined Markov chain transition matrix. In this paper we present a study on how to determine the elements of the matrix and support it with simulation results.