Tracking with Sparse and Correlated Measurements via a Shrinkage-based Particle Filter

This paper presents a shrinkage-based particle filter method for tracking a mobile user in wireless networks. The proposed method estimates the shadowing noise covariance matrix using the shrinkage technique. The particle filter is designed with the estimated covariance matrix to improve the tracking performance. The shrinkage-based particle filter can be applied in a number of applications for navigation, tracking and localization when the available sensor measurements are correlated and sparse. The performance of the shrinkage-based particle filter is compared with the posterior Cramer-Rao lower bound, which is also derived in the paper. The advantages of the proposed shrinkage-based particle filter approach are demonstrated via simulation and experimental results.