Interacting multiple model adaptive robust Kalman filter for process and measurement modeling errors simultaneously

•Both process anomalies and measurement anomalies can occur in the state space model.•The handling of process anomalies and measurement anomalies in Kalman filtering is two opposite problems.•While ensuring the performance of the state estimation algorithm, its real-time nature should also be guaranteed. This paper proposes an effective Interactive Multiple Model Adaptive Robust Kalman Filter (IMMARKF) without time delay to handle situations where both process modeling errors and measurement modeling errors exist simultaneously. Building upon the robust Centered Error Entropy Kalman Filter (CEEKF) for outlier measurements and the Adaptive Kalman Filter (AKF) for process modeling errors, the IMMARKF method combines the Gaussian optimality of the KF, the adaptability of AKF, and the robustness of CEEKF using the interacting multiple model (IMM) principle to adapt reasonably to changing application environments, and can obtain estimation results in the absence of time delay. Target tracking simulations show that compared to existing methods, the proposed method can better adapt to non-stationary noise and application environments where process anomalies and measurement anomalies occur simultaneously.