A treatment of nonwhite measurement noise in discrete linear systems

A combination of pure colored and pure white measurement noise may occur in several classes of linear discrete time dynamic stochastic systems of interest. Accurate state estimation in the presence of this nonwhite measurement noise is achieved through the use of a low order least squares filter. Previously the statistical nature of this nonwhite noise has been restricted, and computationally burdensome algorithms have been developed to handle this particular type of measurement noise. In overcoming these difficulties a filter is developed, similar in form to a Kalman filter, whose order is no higher than the order of the state.