Multistage linear estimation using partitioning
Dominick Andrisani, Ching-Fu Gau · IEEE Transactions on Automatic Control · 1985
The estimation algorithm described in this note solves the linear estimation problem as a two-stage estimator consisting of two consecutive Kalman filters. The interconnections between this estimator structure and the more familiar one-stage optimal Kalman filter are discussed. Applications to decentralized estimation, bias estimation, and parameter identification are described.