Comparative analysis of estimation-process dynamics for ordinary and stationary Kalman filters (Q800878)

A comparative analysis of estimation-process dynamics for ordinary and stationary Kalman filters is performed for the case of linear stationary systems. The analysis is based on a comparison of the processes of variation of the corresponding covariance matrices of the estimation errors. An upper bound is obtained for the difference between the covariance matrices of the estimation errors of these filters; this bound depends on the plant parameters, the noise characteristics, and the initial value of the covariance matrix of the estimation errors.