The continuous kalman filter as the limit of the discrete kalman filter

DOI10.1080/07362999908809638zbMATH Open0936.62104OpenAlexW1966257967MaRDI QIDQ4702159FDOQ4702159

Authors: Scott Shald 

Publication date: 18 May 2000

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999908809638

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zbMATH Keywords

discretizationapproximationdiscrete filterscontinuous Kalman filtercontinuous filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Stochastic processes and filtering theory
• Title not available (Why is that?)
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• Introduction to random signals and applied Kalman filtering. With Matlab exercises and solutions
• An exact equivalence between the discrete- and continuous-time formulations of the Kalman filter
• On exact filters for continuous signals with discrete observations

Cited In (4)

• Convergence of discrete-time Kalman filter estimate to continuous time estimate
• On the continuous time limit of the ensemble Kalman filter
• Convergence of discrete-time Kalman filter estimate to continuous-time estimate for systems with unbounded observation
• The location of the continuous-time stationary Kalman filter poles

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