Adaptive Kalman Filtering for Recursive Both Additive Noise and Multiplicative Noise

This article focuses on the adaptive Kalman filtering problem for linear systems with unknown covariances of both dynamic multiplicative noise (multiplicative measurement noise) and additive noises (additive process and measurement noises). A recursive-noise adaptive Kalman filter is proposed to estimate both states and covariances of noises by using the variational Bayesian (VB) inference and an indirect method. First, we characterize inverse Wishart priors for both measurement noise covariance and process noise covariance and employ the Student's t-distribution to represent the likelihood function, which is non-Gaussian and affected by mixing multiplicative noise and additive measurement noise. Then, an adaptive Kalman filtering for recursive both noise covariance matrices and dynamic state is proposed following VB inference. Performance analysis for VB procedures and the proposed filter is provided to ensure the convergence and stability. A target tracking example is provided to validate the effectiveness of the proposed filtering algorithm.