Relationship between steady state Kalman filter gain and noise variances

DOI10.1080/00207728208926419zbMATH Open0487.93058OpenAlexW2059814252MaRDI QIDQ3948976FDOQ3948976

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

noise covariance matricesexponential weighted least squaressteady state Kalman filter gain

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Filtering in stochastic control theory (93E11) 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)

Cites Work

• Optimization of stochastic systems. Topics in discrete-time systems
• Consistent Estimates of the Parameters of a Linear System
• Title not available (Why is that?)

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