Stochastic Stability of the Continuous-Time Extended Kalman Filter
Institution of Engineering and Technology
IET Control Theory and Applications
Original Item ID
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.
Reif, K.; Gunther, S.; Yaz, Edwin E.; and Unbehauen, R., "Stochastic Stability of the Continuous-Time Extended Kalman Filter" (2000). Electrical and Computer Engineering Faculty Research and Publications. 753.