Kalman Filtering of Linear System with Colored Noises

To solve the problem of colored noise filtering to do the precise dynamic positioning(or navagation) by use of the three phase difference of GPS carrier waves.The linear filters with dynamic colored noises and observational colored noises are derived and it may be proved that the Kalman filtering with dynamic white noises is the special case of Kalman filtering with dynamic colored noises,the Kalman filtering with observational white noises is the special case of Kalman filtering with observational colored noises.