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Table 7 EUFIR filtering algorithm for TV models

From: Iterative unbiased FIR state estimation: a review of algorithms

Stage

 

Given:

K, N, m=nN+1,

 

s=m+K−1, m+Kln.

Set:

x ̂ s by (69) and G s by (70)

Update:

F l by (100), H l by (101),

 

G l = [ H l T H l + ( F l G l 1 F l T ) 1 ] 1 ,

 

K l = G l H l T ,

 

x ̂ l = f l ( x ̂ l 1 )+ K l [ z l h l ( x ̂ l )].

Remark:

Use the estimate when l=n.