Self-tuning Weighted Measurement Fusion Kalman Filter Based on ARMA Innovation Model

For the multisensor system with different measurement matrices, correlated measurement noises and unknown noise variances, by correlated method, the online identifiers of the noise variances are obtained. Based on ARMA innovation model, a self-tuning weighted measurement fusion Kalman 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 fused Kalman filter converges to the corresponding optimal fused Kalman filter with probability one or in a realization, i.e. it has asymptotical global optimality. A simulation example for a target tracking systems with 3 sensors shows its effectiveness.