Two-stage interacting multiple model algorithm

In hybrid estimation, interacting multiple model (IMM) estimator is one of the most cost-effective schemes. But IMM will degrade if too many models are chosen. This is due to the limit of Markov parameters. A dual Markov switching process is proposed. Then a two-stage IMM is given. Simulations show that the new algorithm is better than IMM for large measurement noise and almost the same as IMM for small measurement noise when two abruptly-changing statistic parameters of process noise are identified.