A minimax property of the Kalman filter
Arunabha Bagchi, Huibert Kwakernaak · International Journal of Control · 1977
It is proved that both in the discrete-time and the continuous -time case the asymptotic form of the Kalman filter that is obtained by letting the variance matrix of the initial state go to infinity is minimax with respect to the initial state if the latter is regarded as an unknown, deterministic quantity