A nonrecursive algebraic solution for the discrete smoothed error covariance matrix
Robert A. Monzingo · IEEE Transactions on Automatic Control · 1973
The algebraic solution for the discrete Riccati equation may be exploited to obtain nonrecursive solutions for the discrete smoothed error-covariance matrix. The system matrix required to obtain this result is given, and the corresponding matrix for the continuous case may be found in an analogous manner.