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For linear stochastic time-varying state space models with Gaussian noises, this paper investigates state estimation for the scenario where the input variables of the state equation are not fully observed but rather the input data is available only at an aggregate level. Unlike the existing filters for unknown inputs that are based on the approach of minimum-variance unbiased estimation, this paper does not impose the unbiasedness condition for state estimation; instead it incorporates a Bayesian approach to derive a modified Kalman filter by pooling the prior knowledge about the state vector at the aggregate level with the measurements on the output variables at the original level of interest. The estimated state vector is shown to be a minimum-mean-square-error estimator. The developed filter provides a unified approach to state estimation: it includes the existing filters obtained under two extreme scenarios as its special cases, i.e., the classical Kalman filter where all the inputs are observed and the filter for unknown inputs.

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a b s t r a c tFor linear stochastic time-varying systems, we investigate the properties of the Kalman filter with partially observed inputs. We first establish the existence condition of a general linear filter when the unknown inputs are partially observed. Then we examine the optimality of the Kalman filter with partially observed inputs. Finally, on the basis of the established existence condition and optimality result, we investigate asymptotic stability of the filter for the corresponding time-invariant systems. It is shown that the results on existence and asymptotic stability obtained in this paper provide a unified approach to accommodating a variety of filtering scenarios as its special cases, including the classical Kalman filter and state estimation with unknown inputs.