Title :
On innovation sequence testing of the Kalman filter
Author :
Boozer, Drayton D. ; Daniel, Willie L Mc, Jr.
Author_Institution :
Teledyne-Brown Engineering, Huntsville, AL, USA
fDate :
2/1/1972 12:00:00 AM
Abstract :
SequentiaUy proven statements are given showing that the whiteness of the innovation sequence of a steady-state Kalman filter is not a sufficient condition for the optimality of the filter. Simulation results are given which verify each of the statements. Definite conclusions are reached concerning the identification of a class of systems by using the output sequence.
Keywords :
Innovations methods; Kalman filtering; Delay effects; Filtering; Kalman filters; Maximum likelihood detection; Maximum likelihood estimation; Nonlinear filters; State estimation; Technological innovation; Testing; Time varying systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1972.1099855
