On the equivalence between steady-state Kalman filter and DPLL

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Fundamental results in the literature showed that a class of Kalman filters (KF) converges to a digital phase lock loop (DPLL) structure. Results were proved for second- and third-order KFs. We extend these results to KFs of any order and derive in closed form the equivalent loop filter constants as a linear combination of the steady-state Kalman gains. We also give the inverse relation. Both closed-form relations involve Stirling numbers of the first or second kind. We implement both filters in a global navigation satellite system (GNSS) receiver and illustrate their equivalence with real-world data. These extended theoretical results provide a deeper understanding of the equivalence between KF and DPLL and may be of practical interest in highly dynamic scenarios to design and tune tracking filters.