Stability of Kalman filter for time-varying systems with correlated noise
Ruisheng Li, Dongsheng Chu · International Journal of Adaptive Control and Signal Processing · 1997
The stability of a Kalman filter based on an adaptive estimator in the time average sense for a time-varying stochastic system with correlated noise is obtained under a persistent excitation condition. The stabilities of the closed-loop system and estimating error are established by designing an adaptive control law and restricting the growth rates of input and output signals. The stabilities of the extended least squares algorithm with forgetting factor and with covariance modification in the time average sense and sample average sense respectively are obtained. © 1997 by John Wiley & Sons, Ltd.