In this note, the basic limit behaviors of the solution to Riccati equation in the extended Kalman filter as a parameter estimator for a sinusoidal signal are analytically investigated by using lira sup and lim inf in...In this note, the basic limit behaviors of the solution to Riccati equation in the extended Kalman filter as a parameter estimator for a sinusoidal signal are analytically investigated by using lira sup and lim inf in advanced calculus. We show that if the covariance matrix has a limit, then it must be a zero matrix.展开更多
基金This work was supported by the National Natural Science Foundation of China （No. 61374084）.
文摘In this note, the basic limit behaviors of the solution to Riccati equation in the extended Kalman filter as a parameter estimator for a sinusoidal signal are analytically investigated by using lira sup and lim inf in advanced calculus. We show that if the covariance matrix has a limit, then it must be a zero matrix.
基金Supported by the National Natural Science Foundation of China(61873323,61773174,61573162)the Wuhan Science and Technology Plan Project(2018010401011292)+2 种基金the Hubei Province Natural and Science Foundation(2017CFB4165,2016CFA037)the Open Fund Project of Hubei Province Key Laboratory of Intelligent Information Processing and Real-Time Industrial System(znxx2018ZD02)the Basic Research Project of Shenzhen(JCYJ20170307160923202,JCYJ20170818163921328)
