Design of Kalman filters using signal-model output statistics
Hung Le Son, Brian D. O. Anderson · Proceedings of the Institution of Electrical Engineers · 1973
The Kalman filter depends only on the output statistics of the message model; a technique for filter construction using only these statistics is given. The performance of the filter is considered, and, for state rather than signal estimation, the performance is found to depend on the details of the model, as distinct from its output statistics.