Convergence of the Kalman filter gain for a class of nondetectable signal extraction problems

DOI10.1109/TAC.1987.1104482zbMATH Open0625.93068MaRDI QIDQ3028841FDOQ3028841

Authors: Peter Burridge, Alastair Hall 

Publication date: 1987

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

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zbMATH Keywords

unstable ARMA processConvergence of the filter gainundetectable modes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Cited In (4)

• On the Optimality of Linear Signaling to Deceive Kalman Filters over Finite/Infinite Horizons
• Uniform observability and exponential convergence rate of the Kalman filter for the FIR deconvolution problem.
• Prediction theory for autoregressivemoving average processes
• Algoritmo conjunto Kalman–Haar aplicado al procesamiento de señales

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