An Adaptive Kalman Filter Based on Sage Windowing Weights and Variance Components
Yuanxi Yang, Tianhe Xu · Journal of Navigation · 2003
In this paper a brief review of Sage adaptive filtering is followed by an analysis of the shortcomings of covariance matrices formed by windowing residual vectors, innovation vectors and correction vectors of the dynamic states. A new adaptive Kalman filter is developed by combining the Sage filter and the variance components and its use tested against various other schemes.