Comparative analysis of estimation-process dynamics for ordinary and stationary Kalman filters

MaRDI QIDQ800878zbMATH OpenFDO

Authors A. V. Teterin

Publication date 1983

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

estimation-process dynamicsKalman filters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Review text

A comparative analysis of estimation-process dynamics for ordinary and stationary Kalman filters is performed for the case of linear stationary systems. The analysis is based on a comparison of the processes of variation of the corresponding covariance matrices of the estimation errors. An upper bound is obtained for the difference between the covariance matrices of the estimation errors of these filters; this bound depends on the plant parameters, the noise characteristics, and the initial value of the covariance matrix of the estimation errors.

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(4)

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