Joint use of Kalman filter and minimax filter in the assessment problem of parameters for random process model

Abstract

The article considers the problem of reconstruction of a random process model by a singular realization in terms of a small number of available measurements. The problem of parameters assessment is shown as the problem of assessment of state vector in the model of a dynamic system with variable matrix of measurement. The possibility of a joint use of filtration algorithm to specify multiple estimation of a state vector is studied.