Title :
Convergence of the Kalman filter gain for a class of nondetectable signal extraction problems
fDate :
11/1/1987 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1987.1104482
