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

DOI10.1109/TAC.1987.1104482MaRDI QIDQ3028841zbMATH OpenFDO

Authors Peter Burridge, Alastair Hall

Publication date 1987

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

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)

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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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