Study of the stability of a kalman-bucy filter subjected to correlated disturbances
Tóm tắt
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
Tài liệu tham khảo
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