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.


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    Title :

    Steady-state Kalman filter with correlated measurement noise-an analytical solution


    Additional title:

    Stationaere-Kalman-Filter mit korreliertem Messrauschen - eine analytische Loesung


    Contributors:


    Publication date :

    1989


    Size :

    4 Seiten, 7 Quellen


    Type of media :

    Conference paper


    Type of material :

    Print


    Language :

    English