On the general Kalman filter for discrete time stochastic fractional systems

In this paper the derivation of Kalman filter for discrete time-stochastic fractional system is investigated. Based on a novel cumulative vector form model for fractional systems, a general Kalman filter is introduced. The validity of the proposed method has been compared with a previously presented method via simulation results. It is shown that this method can be better applied for discrete time stochastic fractional systems with slower dynamics.