Effect of errors due to incorrect covariance function on an optimal filter for coloured noise
Osami Saito · International Journal of Control · 1973
In designing an optimal filter for coloured noise, this paper is concerned with error analyses due to an incorrect covariance function of a measurement noise. Algorithms are given to calculate the actual error covariance and performance loss for two cases, i.e. (1) the models of a shaping filter have some errors in parameters due to mis-identification of a covariance function, (2) the covariance function is misidentified as the Dirac delta function. Two examples illustrate the use of the derived equations