A frequency domain analysis of the linear discrete Kalman filter
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Authors
Costello, Walter Jeremiah
Subjects
Kalman filter
Digital filters
Smoothing
Digital filters
Smoothing
Advisors
Hamming, Richard W.
Date of Issue
1980-03
Date
March 1980
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
The linear discrete Kalman filter was analyzed using a frequency-domain approach. Process and measurement noise covariances are shown to be critical design parameters which, together with the assumed prior state and covariance estimates, completely determine the main schedule of the linear Kalman filter. Several relevant design techniques are illustrated and discussed. The concepts of smoothing and sharpening are demonstrated. Extensions to adaptive, nonlinear, and non-parametric filtering are briefly discussed, as are applications to inventory management, estimation of time-varying mean functions, and multiple regression.
Type
Thesis
Description
Series/Report No
Department
Department of Operations Research
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
Sponsors
Funder
Format
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.