Abstract: Noise statistics are essential for estimation performance. In practical situations, however, a priori information of noise statistics is often imperfect. Previous work on noise statistics identification in linear systems still requires initial prior knowledge of the noise. A novel approach is presented in this paper to solve this paradox. First, we apply the H_∞ filter to obtain the system state estimates without the common assumptions about the noise in conventional adaptive filters. Then by applying state estimates obtained from the H_∞ filter, better estimates of the noise mean and covariance can be achieved, which can improve the performance of estimation. The proposed approach makes the best use of the system knowledge without a priori information with modest computation cost, which makes it possible to be applied online. Finally, numerical examples are presented to show the efficiency of this approach.

Key words: Noise estimate, H_∞ filter, Target tracking

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