A modified inconsistency method for the statistically indeterminate estimation problem (Q1914114)

The authors are interested in estimation of the state of a linear multistate system with additional random and deterministic disturbances. When the covariance matrices of the disturbances tend to zero, the corresponding set of estimates of states does not converge to the corresponding set of the deterministic problem. By means of modifying the inconsistency method, the authors are able to estimate the state of a multistage system so that the information sets constructed for the statistically indeterminate problem converge to the solution of the deterministic problem under small disturbances. The method is applicable to a deterministic system containing disturbances arising as a consequence of both, instantaneous and second-degree constraints.