Optimal joint adaptive estimation of parameter and state of a linear stochastic system with application to tracking

Abstract

An extension is described in this paper of the optimal joint estimation of parametres and state in stochastic linear systems, to the single input-single output situation, which is the kind of system that appears in the tracking of the position of an unknown flying object in one direction if interaction between coordinates is neglected. An application to radar tracking follows, with special emphasis on the description of the discrete filtering algorithm that processes the data given by a radar. Some results of the computer program with simulated and with real data, are disclosed.