DocumentCode
854347
Title
Convergence of the Kalman filter gain for a class of nondetectable signal extraction problems
Author
Hall, Asha
Volume
32
Issue
11
fYear
1987
fDate
11/1/1987 12:00:00 AM
Firstpage
1036
Lastpage
1039
Abstract
Convergence of the filter gain is proved for a class of problems with undetectable modes on the unit circle. This situation arises when the signal is an unstable ARMA process corrupted by ARMA noise with the same unstable modes, since modes common to signal and noise are unobservable.
Keywords
Autoregressive moving-average processes; Discrete time Riccati equations; Kalman filtering, linear systems; Riccati equations, discrete-time; Convergence; Councils; Filtering; Gaussian noise; Riccati equations; Signal analysis; Signal processing; Silicon compounds; State estimation; Technological innovation;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1987.1104482
Filename
1104482
Link To Document