Degradation of linear filter performance due to modeling error
James R. Huddle, David A. Wismer · IEEE Transactions on Automatic Control · 1968
Differential equations for determining the dynamic and steady-state effects of a particular class of disturbances on the error in the estimate of the state vector of a stochastic linear dynamic system are obtained. For the problem of evaluating near optimal filter performance, the technique permits the performance degradation due to the deletion of certain state vector components in the design of a Kalman filter to be obtained.