System identification (2nd ed.): theory for the user
System identification (2nd ed.): theory for the user
Self-tuning decoupled information fusion Wiener state component filters and their convergence
Automatica (Journal of IFAC)
New approach to information fusion steady-state Kalman filtering
Automatica (Journal of IFAC)
Multi-sensor optimal information fusion Kalman filter
Automatica (Journal of IFAC)
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For the multisensor system with identical measurement matrix and correlated measurement noises, by correlated method, the online estimators of the noise statistics are obtained. Based on modern time series analysis method, a self-tuning weighted measurement fusion Wiener filter is presented, which avoids Lyapunov and Riccati equations, reduces the computational burden and is suitable for real time application. By dynamic error system analysis (DESA) method, it is rigorously proved that the proposed self-tuning Wiener filter converges to the optimal Wiener filter in a realization or with probability one, i.e. it has asymptotical global optimality. A simulation example for a target tracking systems with 3 sensors shows its effectiveness.