Stochastic Stability of the Discrete-time Kalman Filter
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The problem of stochastic stability of the Kalman filter with stochastic time varying system parameters 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 (RRE). Then we analyse the stability of Kalman filter with random coefficients, establishing the Lr boundedness of filtering errors.
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