摘要
The optimality of two-stage state estimation with ARMA model random bias is studiedin this paper. Firstly, the optimal augmented state Kalman filter is given; Secondly, the two-stageKalman estimator is designed. Finally, under an algebraic constraint condition, the equivalencebetween the two-stage Kalman estimator and the optimal augmented state Kalman filter is proved.Thereby, the algebraic constraint conditions of optimal two-stage state estimation in the presence ofARMA model random bias are given.
The optimality of two-stage state estimation with ARMA model random bias is studiedin this paper. Firstly, the optimal augmented state Kalman filter is given; Secondly, the two-stageKalman estimator is designed. Finally, under an algebraic constraint condition, the equivalencebetween the two-stage Kalman estimator and the optimal augmented state Kalman filter is proved.Thereby, the algebraic constraint conditions of optimal two-stage state estimation in the presence ofARMA model random bias are given.
