Proceedings ArticleDOI
Behavior of the discrete-time Kalman filter under incorrect noise covariances
Suwanchai Sangsuk-Iam,T. E. Bullock +1 more
- Vol. 26, Iss: 26, pp 1594-1600
TLDR
In this article, the authors studied the behavior of the discrete-time Kalman filter under incorrect noise covariances and quantified the filter performance by the actual one-step predictor error covariance.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.read more
Citations
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Analysis of discrete-time Kalman filtering under incorrect noise covariances
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Per-Olof Gutman,M. Velger +1 more
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Student's $t$ -Filters for Noise Scale Estimation
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Journal ArticleDOI
Analysis of continuous-time Kalman filtering under incorrect noise covariances
S. Sangsuk-Iam,T. E. Bullock +1 more
TL;DR: The results presented in the paper help one to understand and be able to predict certain behavior of the Kalman filter when inexact values of noise covariances are used.