In the Kalman filtering applications, the conventional dynamic model which connects the states information of two consecutive epochs by state transition matrix is usually predefined and assumed to be invariant. Aiming to improve the adaptability and accuracy of dynamic model, we propose multiple historical states involved filtering algorithm. An autoregressive model is used as the dynamic model which is subsequently combined with observation model for deriving the optimal window-recursive filter formulae in the sense of minimum mean square error principle. The corresponding test statistics characteristics of system residuals are discussed in details. The test statistics of regional predicted residuals are then constructed in a time-window for model bias testing with two hypotheses, that is, the null and alternative hypotheses. Based on the innovations test statistics, we develop a model bias processing procedure including bias detection, location identification, and state correction. Finally, the minimum detectable bias and bias-tonoise ratio are both computed for evaluating the internal and external reliability of overall system, respectively
