• Corpus ID: 239016624

Robust Kalman filters with unknown covariance of multiplicative noise

  title={Robust Kalman filters with unknown covariance of multiplicative noise},
  author={Xingkai Yu and Ziyang Meng},
  • Xingkai Yu, Ziyang Meng
  • Published 17 October 2021
  • Engineering
In this paper, state and noise covariance estimation problems for linear system with unknown multiplicative noise are considered. The measurement likelihood is modelled as a mixture of two Gaussian distributions and a Student’s t distribution, respectively. The unknown covariance of multiplicative noise is modelled as an inverse Gamma/Wishart distribution and the initial condition is formulated as the bluenominal covariance. By using robust design and choosing hierarchical priors, two… 

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