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.
Steady-state Kalman filter with correlated measurement noise-an analytical solution
Stationaere-Kalman-Filter mit korreliertem Messrauschen - eine analytische Loesung
1989
4 Seiten, 7 Quellen
Conference paper
English
British Library Conference Proceedings | 1995
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