Optimal filtering for multi-rate systems with one-step auto-correlated noises

@article{Tian2015OptimalFF,
  title={Optimal filtering for multi-rate systems with one-step auto-correlated noises},
  author={Tian Siva Tian and Shu Li Sun},
  journal={2015 International Conference on Estimation, Detection and Information Fusion (ICEDIF)},
  year={2015},
  pages={13-17}
}
The optimal filtering problem is addressed for multi-rate systems with one-step auto-correlated noises. The state is updated at the highest sampling rate and the sensor has a lower sampling rate. System noise and measurement noise are one-step auto-correlated, respectively. An optimal filter in the linear minimum variance sense is proposed via an innovation analysis approach. A simulation example is given to show the effectiveness of the proposed algorithms. 

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