• DocumentCode
    800042
  • Title

    On the optimum colored noise Kalman filter

  • Author

    Zimmerman, W.

  • Author_Institution
    Dynamics Research Corp., Stoneham, MA, USA
  • Volume
    14
  • Issue
    2
  • fYear
    1969
  • fDate
    4/1/1969 12:00:00 AM
  • Firstpage
    194
  • Lastpage
    196
  • Abstract
    A set of equations is presented for designing an optimum Kalman filter for a continuous linear dynamic system with colored measurement noise only. Included are the optimum Kalman filter variance, gain, and mechanization equations in a form which can be computerized easily and requires a minimum of engineering effort.
  • Keywords
    Kalman filtering; Linear systems, time-invariant continuous-time; Colored noise; Covariance matrix; Design engineering; Equations; Filters; Noise measurement; State estimation; Time varying systems; Vectors; White noise;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1969.1099149
  • Filename
    1099149
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=800042