Abstract: In the case of unknown control vector and statistical characteristic parameter of ob-servation noise, a method is used for association estimation of svstem state,control vector and unknown noise's statistical characteristic parameter.A new algorithm of recursive fiItering sys-tem state and control vector simuItaneously and estimating or rectifying the unknown noise's sta-tistical characteristic parameter continuously is presented.The simulation and actual calculation results show the usefuIness of this new algorithm.

Key words: filtration, control simulation, random numbers