The Stability of the Kalman Filter for Systems with Colored Observation Noises
Wang Peng Li Jixiang Zhang Yuan -, Li Chen · 2006
The stability of the Kalman filter for the stochastic time varying linear systems with colored observation noises has been treated. In this paper, we first introduce a suitable stochastic observability (or excitation) condition to guarantee both the Lr- and exponential stability of random Riccati equations. Then we give a sufficient condition to ensure the stability of Kalman filter.