Abstract:In this paper, the filtering problem for a class of jump processes with discrete observations is considered. Using a minimum variance approach, a linear recursive unbiased filter is obtained with the help of which the required estimate and the corresponding covariance can be determined. The proposed filter allows multiple jumps for the state process, thereby making the theory applicable to modern navigation problems (Omega and Loran-C receivers), where multiple jumps have been reported to be a common occurrenc… Show more
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