Closed-Form Solutions of Target-Tracking Filters with Discrete Measurements

Using two separate algorithms, called Kalman's recursive and Vaughan's nonrecursive, exact closed-form solutions of the steady-state two-state exponentially correlated velocity (ECV) and three-state exponentially correlated acceleration (ECA) target-tracking filters are derived for discrete position measurements. For this particular application, the superiority of Vaughan's nonrecursive over Kalman's recursive algorithm is observed.