PERFORMANCE ANALYSIS OF KALMAN FILTERS
Peter J. G. Teunissen, Martin Salzmann · STIN · 1988
Methods for the analysis of the performance of Kalman filters are considered in the paper. The methods are all based on the innovation sequence which has well defined statistical properties if the filter is optimal. Local and global test statistics are presented and discussed. A global slippage test statistic is introduced. This test, which has batch type properties, is given in a recursive form.