Unscented Kalman Filter with Colored Noise
有色噪声下的不敏卡尔曼滤波器

In the real world, it is a common problem how to estimate the state of nonlinear systems with colored noise. The Extended Kalman Filter (EKF) is generally used to linearize the state or measure equations of the nonlinear system, and the linear method can be used. However, the performance of the EKF may not be always good due to the linearization error. In this paper, a new method is proposed. Firstly, the method transforms the measure equation of the system, so the colored noise of the equation can be changed into white noise. Then, the Unscented Kalman Filter (UKF) can be used to estimate the state of the system. Although, the linearization of the equations is also needed in this method, it will not affect the precision of the method, because the linearization is performed during the course of computing the error of the new measure equation. The results of the simulation show that the new method can effectively get the precision state estimation of the nonlinear system with colored nois.