An Adaptive Kalman Filter and ist Application
自适应Kalman滤波器及其应用

A new adaptive Kalman filter is presented for the single output system with unknown noise statistics. By a time series analysis, a new and simpler estimation algorithm for the gain of the steady-state optimal Kalman filter is given. A new adaptive Kalman filtering algorithm is also given for identifying the parameters of moving average (MA) model. An application to a radar tracking system is given to show the usefulness of the proposed new algorithms.