Title :
Convergence properties of an optimal filter design with correlated output noise
Author :
de Souza, Carlos E. ; Fernandes, Jose
Author_Institution :
Universidade Federal de Uberl??ndia, Uberl??ndia, MG, Brazil
Abstract :
This note studies the convergence and stability properties of an optimal filter for systems with Markov measurement noise. The convergence and stability conditions for the design analysed are the same as those for the optimal filter when the measurement noise is assumed to be a nonsingular white noise process.
Keywords :
Convergence; Covariance matrix; Kalman filters; Markov processes; Noise measurement; Q measurement; White noise;
Conference_Titel :
Decision and Control, 1984. The 23rd IEEE Conference on
Conference_Location :
Las Vegas, Nevada, USA
DOI :
10.1109/CDC.1984.272224
