Design of an extended Kalman filter frequency tracker
Barbara F. La Scala, Robert R. Bitmead · IEEE Transactions on Signal Processing · 1996
The design of an extended Kalman filter for tracking a time-varying frequency is discussed. Its principal modes of failure are explained. The design tradeoff between balancing noise rejection and tracking at a maximal slew rate is discussed. The performance penalties for overdesign and underdesign of noise covariances are examined, and theoretically supported design guidelines are suggested.