Distributed Fusion Estimator for Multisensor Multirate Systems With Correlated Noises

A distributed fusion estimation algorithm is studied for multisensor multirate systems with correlated noises, where the state update rate is positive integer multiples of the measurement sampling rates and different sensors sample uniformly with different sampling rates. The measurement noises from different sensors are correlated with each other and are also correlated with the process noise. First, the state space model is established at the measurement sampling points (MSPs). Then, the optimal local filter at the MSPs and optimal local estimators (LEs) at the state update points are presented by an innovation analysis approach, respectively. Moreover, the cross-covariance matrices of estimation errors between any two LEs are derived, which involves three jointly recursive difference equations. At last, a distributed fusion estimator is proposed by applying the matrix-weighted fusion estimation algorithm in the linear minimum variance sense. The stability of the proposed algorithms is analyzed. Simulation results illustrate the effectiveness of the algorithms.