The research of the minimum mean-square error of the generalized Kalman filter

The Kalman filter is widely used in many fields, but it depends on the given system model. The generalized Kalman filter is a method which is based on the unknown model system. Its significance is obvious. This paper, which is based on the signal model and measure model, described the minimum mean-square error of the generalized kalman filter, what is called the selection of the optimal filter. Lastly, the simulation curves were completed by the Kalman filter and the generalized Kalman filter .By the comparison of the curves , the effect of the generalized Kalman filter is evident.