Asymptotic distribution theory for the kalman filter state estimator

DOI10.1080/03610928408828808zbMath0555.62084MaRDI QIDQ3218980

Kent D. Wall, James C. Spall

Publication date: 1984

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928408828808

zbMATH Keywords

asymptotic normality; linear discrete-time systems; state space model; model validation; non-Gaussian disturbances; borderline stable-unstable systems; Kalman filter state estimator; measure of deviation from normality; stability properties of the state transition matrix

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62E20: Asymptotic distribution theory in statistics

Related Items

An Adaptive Extended Kalman Filter with Application to Compartment Models, THE DISTRIBUTION OF NONSTATIONARY AUTOREGRESSIVE PROCESSES UNDER GENERAL NOISE CONDITIONS, The Kalman-Lévy filter, An event-triggered approach to state estimation with multiple point- and set-valued measurements, The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions, Error-constrained finite-horizon tracking control with incomplete measurements and bounded noises

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