Bound on sensitivity of the Kalman-Bucy filter to prior values of covariance matrices (Q1178667): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 23:45, 29 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bound on sensitivity of the Kalman-Bucy filter to prior values of covariance matrices |
scientific article |
Statements
Bound on sensitivity of the Kalman-Bucy filter to prior values of covariance matrices (English)
0 references
26 June 1992
0 references
The paper studies the accuracy of a Kalman-Bucy filter when approximate values of the covariance matrices are used. An upper bound on the accuracy is derived for which the analysis of the dependence on the covariances can be carried out in various situations.
0 references
Kalman-Bucy filter
0 references
