1. A method for producing a fused signal from a set of n&gt;1 signals encoding information obtained in part from a physical measuring device, each signal of which relates to an informative estimate of the state of a physical system and an estimate of the error covariance associated with said estimate of the state, comprising: selecting a global coordinate system within which the estimate of the state of the physical system according to the kth signal, for every k between 1 and n, has a definable inverse error covariance Xk; forming a fused signal which can be represented in the global coordinate system by a vector c and an estimate of the error covariance associated with c, which can be represented as a matrix C defined by; EQU C=w1*X1+w2*X2+w3*X3+. .. +wn*Xn, where the set of n positive real valued numbers, w1. .. wn, sum to one and are computed as a function of the error covariances of the n estimates, where c is computed as a function of the n estimates and of the n positive real numbers, and C is the matrix inverse of C; transmitting a signal derived from said fused signal.