Performance measure for adaptive Kalman estimators
DEMETRIOS G. LAINIOTIS, F. Sims · IEEE Transactions on Automatic Control · 1970
An on-line performance measure for adaptive Kalman estimators is derived which is shown to be an optimal mean-square estimate of actual system performance. The proposed measure utilizes quantities readily available from the adaptive estimator, and hence a minimum of additional computational effort is required for its evaluation.