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The problem of interacting multiple model (IMM) estimation for jump Markov linear systems with unknown measurement noise covariance is studied. The system state and the unknown covariance are jointly estimated, where the unknown covariance is modelled as a random matrix according to an inverse-Wishart distribution. For the IMM estimation with random matrices, one difficulty encountered is the combination...
This paper studies the problem of state estimation for jump Markov linear systems with uncompensated biases. By describing the state and the measurement biases as additive random variables, a suboptimal filter has been developed by applying the basic interacting multiple model (IMM) approach. To derive a precise representation of the biases contributions to the state estimation, three auxiliary matrices...
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