In a single stream of observations, I have some prior knowledge about the level of noiseness of the data that get feed into my Kalman filter. Some points are more noisy than the others.
To make use of this knowledge, I have two thoughts
(1) partition the data into two streams: low confidence and high confidence
(2) scale my confidence in data to a factor b/w 0 and 1, and multiply the kalman gain with this factor.
Can someone shed some light on this problem with some new thoughts or comment on my thoughts. Any comments would be appreciated.