The invention relates to an iterative reweighted least square-based robust
noise covariance estimation method, which comprises the following steps of: 1, constructing a
state space model of a linear time-invariant
system, collecting measurement data in a
system operation process to calculate an innovation sequence, and estimating an observation vector formed by auto-
covariance of the
system; step 2, on the basis of the observation vector, constructing a
linear regression equation set of an innovation
covariance and a
noise covariance by using a system
state space model and a steady-state Kalman
gain; step 3, acquiring a robust
noise covariance estimated value for the
linear regression equation set by adopting an iterative reweighted least square
algorithm; and step 4, feeding back the robust noise covariance
estimation value to the
Kalman filter, carrying out
Kalman filter parameter updating and circulation, and realizing on-line adaptive adjustment of noise statistical parameters. According to the method, the robustness of abnormal values is remarkably improved in noise statistical parameter
estimation, and the accuracy and stability of Kalman filtering can still be ensured in an environment containing noise and abnormal data.