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THE KALMAN FILTER PROPERTIES IN TRANSITION REGIME

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The conditions providing high accuracy of the Kalman filter in transition regime are considered. Relations between the respective values of parameters of state equations and measurement are determined. A simple rule for preliminary evaluation of the transition process nature is formulated. By the example of practically important problem of Kalman estimation of exponentially-correlated random process, application of the proposed rules is illustrated by presented calculations with different initial data.

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