Critical Issues on Kalman Filter with Colored and Correlated System Noises

DOI10.1002/ASJC.1545MaRDI QIDQ4599952zbMATH OpenOpenAlexFDO

Authors Zebo Zhou, Jin Wu, Yong Li, Chen Fu, Hassen Fourati

Publication date 5 January 2018

Published in Asian Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asjc.1545

zbMATH Keywords

Kalman filterautoregressive modelcolored noisecorrelated noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Control/observation systems governed by ordinary differential equations (93C15) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

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