A general weighted total Kalman filter algorithm with numerical evaluation

@article{Mahboub2016AGW,
  title={A general weighted total Kalman filter algorithm with numerical evaluation},
  author={Vahid Mahboub and Mohammad Saadatseresht and Alireza Azmoudeh Ardalan},
  journal={Studia Geophysica et Geodaetica},
  year={2016},
  volume={61},
  pages={19-34}
}
An applicable algorithm for Total Kalman Filter (TKF) approach is proposed. Meanwhile, we extend it to the case in which we can consider arbitrary weight matrixes for the observation vector, the random design matrix and possible correlation between them. Also the updated dispersion matrix of the predicted unknown is given. This approach makes use of condition equations and straightforward variance propagation rules. It is applicable to data fusion within a dynamic errors-in-variables (DEIV… Expand

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