Covariance Intersection Fusion Kalman Estimators
By the CI (Covariance Intersection) fusion algorithm, based on the ARMA innovation model, the two-sensor CI fusion Kalman estimators are presented for the systems with unknown cross-covariance. It is proved that their estimation accuracies are higher than those of the local Kalman estimators, and are lower than those of the optimal fused Kalman estimators. A Monte-Carlo simulation result shows that the actual accuracy of the presented CI fusion Kalman estimator are close to those of the optimal fused Kalman estimators with known cross-covariance.
Dongye Sun, Wen-Pei Sung and Ran Chen
Y. Gao and Z. L. Deng, "Covariance Intersection Fusion Kalman Estimators", Applied Mechanics and Materials, Vols. 121-126, pp. 750-754, 2012