Analysis of continuous-time Kalman filtering under incorrect noise covariances

Abstract The behavior of the continuous-time Kalman filter under incorrect noise covariances is analyzed. The filter performance is quantified by the actual state error covariance. Through this quantity, the characteristic of the filter is examined. Convergence and divergence analyses of the actual state error covariance are given. The significance of the results presented in the paper is that they help one to understand and be able to predict certain behavior of the Kalman filter when inexact values of noise covariances are used.

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