Analytical Steady-State Solution for a Continuous Time Kalman Filter
Bertil Ekstrand · IEEE Transactions on Aerospace and Electronic Systems · 1985
Analytical expressions are given for the steady-state solution to a continuous time Kalman filter for a two-state model where both states are measured. The solution is obtained by a limiting operation on the known solution for the corresponding discrete time case. The solution is visualized in two graphs. The filter transfer function is also given.