THE KALMAN FILTER PROPERTIES IN TRANSITION REGIME
Annotation
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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