Joint estimation and identification for stochastic systems with unknown inputs

Motivated by tracking a manoeuvring target in electronic counter environments, the authors present the problem of joint estimation and identification of a class of discrete-time stochastic systems with unknown inputs in both the plant and sensors. Based on the expectation-maximum criterion, the joint optimisation scheme of state estimation, parameter identification and iteration terminate decision were derived. A numerical example of tracking a manoeuvring target accompanied range gate pull-off is utilised to verify the proposed scheme.