Abstract
In this paper, we study the behavior of the discrete-time Kalman filter under incorrect noise covariances. In particular, we are interested in the characteristic of the actual performance of the Kalman filter. The filter performance is quantified by the actual one-step predictor error covariance. Convergence and divergence analyses of the actual one-step predictor error covariance are given. The results developed in the paper provide useful insights in the behavior of the Kalman filter when the noise covariances used in designing the filter are inexact.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
