Fractional order Kalman filter

摘要

This paper presents a Fractional Kalman filter for the linear fractional order discrete state-space systems. The detail derivation is given. Because the description of fractional order is more accurate then that given by integer order, and the proposed fractional Kalman filtering is more universal and practical. The proposed result has important applications in the fields of signal processing, system modeling and identification. A simulation example shows its effectiveness.