Bound on sensitivity of the Kalman-Bucy filter to prior values of covariance matrices (Q1178667)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bound on sensitivity of the Kalman-Bucy filter to prior values of covariance matrices |
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Bound on sensitivity of the Kalman-Bucy filter to prior values of covariance matrices (English)
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26 June 1992
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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.
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Kalman-Bucy filter
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