Adaptive Multi-Sensor Joint Tracking Algorithm with Unknown Noise Characteristics.

During the iterative process, the covariance can be written as follows: (9) f = ( X k + 1 − X k + 1 | k ) T P − 1 ( X k + 1 − X k + 1 | k ) + ( h ( X ) − Z k + 1 ) T R − 1 ( h ( X ) − Z k + 1 ) After each iteration, the covariance proceeds in a decreasing trend.

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