We analyze the behavior of the extended Kalman filter as a state estimator for nonlinear
deterministic systems. Using the direct method of Lyapunov, we prove that under certain …

In this paper, we discuss the Kalman filter for state estimation in noisy linear discrete-time
dynamical systems. We give an overview of its history, its mathematical and statistical …

The Kalman filter is the minimum-variance state estimator for linear dynamic systems with
Gaussian noise. Even if the noise is non-Gaussian, the Kalman filter is the best linear …

The authors analyze the error behavior for the discrete-time extended Kalman filter for
general nonlinear systems in a stochastic framework. In particular, it is shown that the …

In this technical note, we analyze the error behavior of the discrete-time extended Kalman
filter for nonlinear systems with intermittent observations. Modelling the arrival of the …

This report presents and derives the Kalman filter and the Extended Kalman filter dynamics.
The general filtering problem is formulated and it is shown that, under linearity and Gaussian …

This technical note deals with the unscented Kalman filter for state estimation of nonlinear
stochastic dynamic systems with a special focus on the scaling parameter of the filter. Its …

It is well known that the time-varying Kalman Filter (KF) is globally exponentially stable and
optimal in the sense of minimum variance under some conditions. However, nonlinear …

The contraction properties of the extended Kalman filter, viewed as a deterministic observer
for nonlinear systems, are analyzed. The approach relies on the study of an auxiliary “virtual” …

We study the Kalman filtering problem when part or all of the observation measurements are
lost in a random fashion. We formulate the Kalman filtering problem with partial observation …