Suboptimal Adaptive Filters for Stochastic Systems with Multisensor Environment

An optimal combination of arbitrary number correlated estimates is derived. In particular, for two estimates this combination represents the well-known Millman and Bar-Shalom-Campo formulae for uncorrelated and correlated estimation errors, respectively. This new result is applied to the various estimation problems as least-squares estimation, Kalman filtering, and adaptive filtering. The new approximate adaptive filter with a parallel structure is proposed. It is shown that this filter is very effective for multisensor systems containing different types of sensors. Examples demonstrating the accuracy of the proposed filter are given.