Relationship between steady state Kalman filter gain and noise variances

DOI10.1080/00207728208926419MaRDI QIDQ3948976zbMATH OpenOpenAlexFDO

Authors Masatoshi Nakamura

Publication date 1982

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728208926419

zbMATH Keywords

exponential weighted least squaresnoise covariance matricessteady state Kalman filter gain

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Linear systems in control theory (93C05) Multivariable systems, multidimensional control systems (93C35) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Cites work

• Consistent Estimates of the Parameters of a Linear System
• scientific article; zbMATH DE number 3779224 (Why is no real title available?)
• Optimization of stochastic systems. Topics in discrete-time systems

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