Adaptive estimation in linear systems with unknown Markovian noise statistics

The asymptotic behavior of a Bayes optimal adaptive estimation scheme for a linear discrete-time dynamical system with unknown Markovian noise statistics is investigated. Noise influencing the state equation and the measurement equation is assumed to come from a group of Gaussian distributions having different means and covariances, with transitions from one noise source to another determined by a Markov transition matrix. The transition probability matrix is unknown and can take values only from a finite set. An example is simulated to illustrate the convergence.