关键词: Kalman滤波, 相关噪声, Biscay分布滤波

Abstract: Biscay distribution filtering (BDF) is an effectual method for interval estimation, it combines interval algorithm with Kalman filter (KF) estimation methods, and gets the states’ interval estimation. For a class of linear system with correlated noises, a new expression of the KF is given in this paper. On this basis, the equivalent BDF is deduced. Furthermore, this method is extended to nonlinear system. Compared with the traditional extended Kalman filter (EKF), brief complexity analysis and simulation examples show the effectiveness of the proposed method.

Key words: Kalman filtering, correlated noise, Biscay distribution filtering