Self-Tuning Fusion Kalman Filter for ARMA Signals
For the single-channel autoregressive moving average (ARMA) signals with multisensor, and with unknown model parameters and noise variances, the local estimators of unknown model parameters and noise variances are obtained by the recursive instrumental variable (RIV) algorithm and correlation method, and the fused estimators are obtained by taking the average of the local estimators. Substituting them into the optimal fusion Kalman filter, a self-tuning fusion Kalman filter for single-channel ARMA signals is presented. A simulation example shows its effectiveness.
W. Q. Liu et al., "Self-Tuning Fusion Kalman Filter for ARMA Signals", Applied Mechanics and Materials, Vols. 229-231, pp. 1768-1771, 2012