Kalman filter has been widely applied for state identification in controllable systems. As a special case of the hidden Markov model, it is based on the assumption of linear dependency relationships and Gaussian noise. The classical Kalman filter does not differentiate systematic error from random error associated with observations. In this paper, we propose an extended Kalman filtering mechanism based on generalized interval probability, where state and observable variables are random intervals, and interval-valued Gaussian distributions model the noises. The prediction and update procedures in the new mechanism are derived. Two examples are used to illustrate the developed mechanism. It is shown that the method is an efficient alternative to sensitivity analysis for assessing the effect of systematic error.

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