A direct approach to identify the noise covariances of Kalman filtering Page 1 Page 2 842
IBEE TRANSACTIONS ON AuTohIAnC CONTROL, VOL. AC-25, NO. 4, AUGUST 1980 The …

Estimation of a dispersion parameter in discrete Kalman filtering Page 1 262 IEEE
TRANSACTIOKS ON AUTOUATIC CONTROL, JUNE 1974 basis of design algorithm and …

The behavior of the continuous-time Kalman filter under incorrect noise covariances is
analyzed. The filter performance is quantified by the actual state error covariance. Through …

Analysis tools are developed that can be effectively used to study the performance
degradation of a filter when incorrect models of the state and measurement noise …

The optimum filtering results of Kalman filtering for linear dynamic systems require an exact
knowledge of the process noise covariance matrix Q, the measurement noise covariance …

This note introduces an extended environment for Kalman filtering that considers also the
presence of additive noise on input observations in order to solve the problem of optimal …

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 …

Estimation of steady-state Kalman filter gain Page 1 944 IEEE TRANSACTIONS ON
AUTOMATIC CONIXOL, VOL. AC-23, KO. 5, OCTOBER 1978 h5 t I\ / -1.5 ', /' -2.5 8L-n I I I I I …

The optimum filtering results of Kalman filtering for linear dynamic systems require an exact
knowledge of the process noise covariance matrix Qk, the measurement noise covariance …

A theoretical analysis is made of the error propagation due to numerical roundoff for four
different Kalman filter implementations: the conventional Kalman filter, the square root …