Xk=Fk*Xk-1+Wk
Yk=Hk*Xk-1+uk+Vk
where, Xk is the system state, Yk is the output, Wk and Vk are uncorrelated white noises sequences of zero-mean and covariance matrices, uk is the unknown vector to be estimated.
Is there any filter to estimate the system state Xk and the unknown vector uk simultaneously?