ANALYTICAL SOLUTION OF DISCRETE COLORED NOISE ECA TRACKING FILTER

New analytical solutions of steady-state Kalman gains are presented fo r a discrete-time tracking filter with correlation in both the measure ment noise and the target maneuver. The measurement noise model is a f irst-order discrete Markov process characterized by a correlation coef ficient rho. The target motion is examined for an exponentially correl ated acceleration maneuver type in which the vehicle oscillation such as wind-induced-bending is also considered. The present solution metho d is based on factorizing the observed spectral density matrix Psi(z) in frequency domain. The algorithm proposed here gives the Kalman gain matrix directly. For a case when the steady-state error covariance ma trix is desired, such gains can be incorporated with the algebraic Ric cati equation.