Title :
A note on Kalman-Bucy filters with zero measurement noise
Author_Institution :
University of Newcastle, Newcastle, New South Wales, Australia
fDate :
6/1/1974 12:00:00 AM
Abstract :
The limiting form of the Kalman-Bucy filter as measurement noise tends to zero does not, in general, correspond to the optimal filter derived assuming zero measurement noise. This may be considered to be due to a difference in initial conditions.
Keywords :
Kalman filtering; Linear systems, time-invariant continuous-time; Adaptive filters; Covariance matrix; Educational institutions; Fading; Filtering algorithms; Gaussian noise; Noise measurement; Nonlinear filters; State estimation; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1974.1100570
