Useful Formulas of the Kalman Filter with Uncorrelated Noise Elements in Measurement Equations

Sueo Sugimoto
[ ID: sapt-1905-0001 ]

We show useful formulas of the Kalman filter with uncorrelated noise elements in measurement equations. These formulas show that the Kalman filtering estimtes at each time can be computed by each independent (i.e. uncorrelated) measurement component data recursively. Namely each measurement with each uncorrelated noise component is used separately by one by one for computing Kalman filtering. Furthermore, we derive the measurement update formula of summarize each measurement update estimate and error covariance by using each measurement with each uncorrelated noise component.

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