Simultaneous Parameter and State Estimation with Extended Kalman Filter for Dynamic Parameters

Simultaneous Parameter and State Estimation with Extended Kalman Filter (SPSE-EKF) is proposed, which integrates both state and parameter information using an extended state vector. Leveraging the Extended Kalman Filter (EKF) framework, SPSE-EKF achieves joint estimation of parameters and states, enhancing accuracy and robustness. This integration allows for a more comprehensive representation of the dynamic system, making it suitable for real-world scenarios with uncertainties. We conduct a simulation experiment to simulate radar target tracking as the application scenario. The results demonstrate SPSE-EKF's ability to accurately estimate system parameters while providing stable state estimates.