Analysis of continuous-time Kalman filtering under incorrect noise covariances
The paper studies the behavior of the continuous-time Kalman filter under incorrect noise covariances. The filter performance is characterized by the actual state error covariance, and conditions are provided that guarantee its convergence and possible asymptotic optimality. Finally, the divergence of the filter under incorrect state or measurement noise covariance is also studied.
scientific article; zbMATH DE number 4079299
scientific article