Title :
The effect of an erroneous model of colored noise on the optimal filtering algorithm
Author :
Saito, Osami ; Takeda, Hiroshi ; Fukushima, Koki
Author_Institution :
Tohoku University, Sendai, Japan
fDate :
10/1/1971 12:00:00 AM
Abstract :
The effect of errors due to incorrect colored noise on optimal filtering algorithms has been investigated. The matrix differential equations have been derived for the computation of the actual covariance.
Keywords :
Linear systems, stochastic continuous-time; Noise; State estimation; Colored noise; Covariance matrix; Filtering algorithms; Filters; Gaussian noise; Linear systems; Noise measurement; Noise shaping; Random variables; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1971.1099799
