The Kalman filter in the case where exists correlation between noises of the plant and meter
The paper is concerned with a problem of optimal linear filtering in the case where exists correlation between the noises w(k) of the plant and noises v(k) and v(k+1) of the meter. The algorithm obtained contains the classical Kalman's solution and its generalization given by Simkin [5]. The dual problem under these conditions is also considered.