A combined detection-estimation scheme is proposed for state estimation in linear systems with random Markovian noise statistics. The optimal MMSE estimator requires exponentially increasing memory and computations with time. The proposed approach is an attempt to circumvent this problem. Simulation results are presented which show the advantages of the proposed scheme over some of the existing suboptimal approaches.
['Jitendra K. Tugnait', 'Abraham H. Haddad']
Brief paper: A detection-estimation scheme for state estimation in switching environments