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Stochastic Stability Of The Continuous-Time Extended Kalman Filter, K. Reif, S. Gunther, Edwin E. Yaz, R. Unbehauen
Stochastic Stability Of The Continuous-Time Extended Kalman Filter, K. Reif, S. Gunther, Edwin E. Yaz, R. Unbehauen
Electrical and Computer Engineering Faculty Research and Publications
he error behaviour of the extended Kalman filter is analysed. It is proved that the estimation error remains bounded if the system satisfies a detectability condition and both the initial estimation error and the disturbing noise terms are small enough. Moreover, some selected cases with both bounded and unbounded estimation error are demonstrated by numerical simulations.