Evaluation of convergence rate in the central limit theorem for the Kalman filter

IEEE Transactions on Automatic Control

Volumn 44, Issue 10, 1999, Pages 1905-1909

  Aliev, Fazil A ^a   Ozbek, Levent ^a  

^a ANKARA UNIVERSITY   (Turkey)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC STABILITY; CONVERGENCE OF NUMERICAL METHODS; MATHEMATICAL MODELS; MATRIX ALGEBRA; SPURIOUS SIGNAL NOISE; STATE ESTIMATION; STATE SPACE METHODS; THEOREM PROVING; VECTORS;

ASYMPTOTIC DISTRIBUTION THEORY; CENTRAL LIMIT THEOREM; MODEL VALIDITY TESTS; NONPARAMETRIC TESTS;

KALMAN FILTERING;

EID: 0033327202     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/9.793734     Document Type: Article

References (10)

1. J. C. Spall and K. D. Well, "Asymptotic distribution theory for the Kalman filter state estimator," Commun. Stat.-Theory and Methods, vol. 13, pp. 1981-2003, 1984.
2. J. C. Spall, "Validation of state-space models from a single realization of non-Gaussian measurements," IEEE Trans. Automat. Contr., vol. AC-30, pp. 1212-1214, 1985.
3. J. J. Deyst, "Corrections to conditions for asymptotic stability of the discrete minimum variance linear estimator," IEEE Trans. Automat. Contr., vol. 18, pp. 562-563, 1973.
4. B. D. O. Anderson and J. B. Moore, Optimal Filtering. Englewood Cliffs, NJ: Prentice-Hall, 1979.
5. A. H. Jazwinski, Stochastic Processes and Filtering Theory. New York: Academic, 1970.
6. V. V. Petrov, Sums of Independent Random Variables. New York: Springer-Verlag, 1975.
7. V. V. Ul'yanov, "Asymptotic expantions for distributions of independent random variables in H," Theory Probab. Appl., vol. 31, pp. 25-39, 1987.
8. V. V. Sazonov, "Normal approximation - Some recent advances," Lecture Notes Math., vol. 879, 1981.
9. F. A. Aliev, "A lower bound for the convergence rate in the central limit theorem in Hilbert space," Theory Probab. Appl., vol. 31, no. 1, pp. 730-733, 1986.
10. Y. S. Chow and H. Teicher, Probability Theory. New York: Springer-Verlag, 1988.