Filtering solution to the out-of-sequence measurement problem with colored and correlated noise

In multi-sensor fusion, information from different sensors with asynchronous cycle durations and different latencies is fused. This often leads to an out-of-sequence problem, i.e., the original order of the measurements is lost. The optimal filtering solution to these out-of-sequence problems has been derived under the assumption of white and uncorrelated process and measurement noise [2]. However, in realistic scenarios, these assumptions are often not fulfilled. Therefore a new filter for the colored noise problem is derived. In addition, a new filtering solution to the out-of-sequence problem is proposed that can handle colored as well as correlated process and measurement noise.