Title :
Steady-state Kalman filter with correlated measurement noise-an analytical solution
Author :
Rogers, Steven R.
Author_Institution :
ELTA Electron. Ind., Ashdod, Israel
Abstract :
An analytical solution is presented for a discrete-time, steady-state Kalman filter with correlated measurement noise. The measurement model is a first-order Markov process, characterized by variance and correlation parameters. The analytical results are used to study the effect of a correlation on steady-state tracking accuracies
Keywords :
Kalman filters; Markov processes; correlation methods; tracking; correlated measurement noise; first-order Markov process; measurement model; steady-state Kalman filter; steady-state tracking; variance parameters; Bandwidth; Filters; Frequency; Markov processes; Measurement errors; Noise measurement; Radar tracking; Steady-state; Target tracking; White noise;
Conference_Titel :
Aerospace and Electronics Conference, 1989. NAECON 1989., Proceedings of the IEEE 1989 National
Conference_Location :
Dayton, OH
DOI :
10.1109/NAECON.1989.40216
