A Stable Adaptive Kalman Filter with Decay‐Factor Recursive Covariance Estimation
Existing adaptive Kalman filters for unknown and time‐varying noise statistics often exhibit numerical instability arising from the coupling between state and noise estimation. To overcome these issues, this paper proposes a Stable Adaptive Kalman Filter with Decay‐Factor Recursive Covariance Estimation (SAKF‐DFRCE)....