Two example sensor fusion calculations are illustrated below. Let _1 and {x}_2 denote two estimates from two independent sensor measurements, with noise
variances \scriptstyle\sigma_1^2 and \scriptstyle\sigma_2^2 , respectively. One way of obtaining a combined estimate _3 is to apply
inverse-variance weighting, which is also employed within the Fraser-Potter fixed-interval smoother, namely : _3 = \sigma_3^{2} (\sigma_1^{-2}_1 + \sigma_2^{-2}_2) , where \scriptstyle\sigma_3^{2} = (\scriptstyle\sigma_1^{-2} + \scriptstyle\sigma_2^{-2})^{-1} is the variance of the combined estimate. It can be seen that the fused result is simply a
linear combination of the two measurements weighted by their respective
information. It is worth noting that if is a
random variable. The estimates _1 and _2 will be correlated through common process noise, which will cause the estimate _3 to lose conservativeness. Another (equivalent) method to fuse two measurements is to use the optimal
Kalman filter. Suppose that the data is generated by a first-order system and let {\textbf{P}}_k denote the solution of the filter's
Riccati equation. By applying
Cramer's rule within the gain calculation it can be found that the filter gain is given by: : {\textbf{L}}_k = \begin{bmatrix} \tfrac{\scriptstyle\sigma_2^{2}{\textbf{P}}_k}{\scriptstyle\sigma_2^{2}{\textbf{P}}_k + \scriptstyle\sigma_1^{2}{\textbf{P}}_k + \scriptstyle\sigma_1^{2} \scriptstyle\sigma_2^{2}} & \tfrac{\scriptstyle\sigma_1^{2}{\textbf{P}}_k}{\scriptstyle\sigma_2^{2}{\textbf{P}}_k + \scriptstyle\sigma_1^{2}{\textbf{P}}_k + \scriptstyle\sigma_1^{2} \scriptstyle\sigma_2^{2}} \end{bmatrix}. By inspection, when the first measurement is noise free, the filter ignores the second measurement and vice versa. That is, the combined estimate is weighted by the quality of the measurements. == Centralized versus decentralized ==