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Study of the stability of a kalman-bucy filter subjected to correlated disturbances

  • General Problems of Metrology and Measurement Technology
  • Published:
Measurement Techniques Aims and scope

Abstract

The stability of a Kalman-Bucy filter that is optimal in the case of filtering of signals against a background of white Gaussian noise and of a filter that is optimal for nonwhite noise from measurements when subjected to the action of correlated disturbances is investigated. The “innovation process” correlation function is calculated and a noise decorrelator is synthesized and subsequently incorporated into the filter structure

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References

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Authors
  1. V. V. Kostrov
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  2. S. N. Zhiganov
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Additional information

Translated from Izmeritel'naya Tekhnika, No. 8, pp. 27–29, August, 1997.

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Kostrov, V.V., Zhiganov, S.N. Study of the stability of a kalman-bucy filter subjected to correlated disturbances. Meas Tech 40, 746–749 (1997). https://doi.org/10.1007/BF02504429

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  • DOI: https://doi.org/10.1007/BF02504429

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