Tracking and Kalman filtering made easy P7

FADING-MEMORY (DISCOUNTED LEAST-SQUARES) FILTER 7.1 DISCOUNTED LEAST-SQUARES ESTIMATE The fading-memory filter introduced in Chapter 1, is similar to the fixedmemory filter in that it has essentially a finite memory and is used for tracking a target in steady state. As indicated in Section 1.2.6, for the fading-memory filter the data vector is semi-infinite and given by Y ðnÞ ¼ ½ y n ; y nÀ1 ; . . .Š T ð7:1-1Þ The filter realizes essentially finite memory for this semi-infinite data set by having, as indicated in section 1.2.6, a fading-memory. As for the case of the fixed-memory filter in Chapter 5,...