Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/10654
Title: Analysis of the characteristic of the kalman gain for 1-d chaotic maps in cubature kalman filter
Authors: Wang, S
Feng, J
Tse, CK 
Keywords: Cramér-Rao lower bound
cubature Kalman filter
Kalman gain
Lyapunov exponent
Issue Date: 2013
Publisher: Institute of Electrical and Electronics Engineers
Source: IEEE Signal processing letters, 2013, v. 20, no. 3, 6415995, p. 229-232 How to cite?
Journal: IEEE signal processing letters 
Abstract: The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cramér-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems.
URI: http://hdl.handle.net/10397/10654
ISSN: 1070-9908
EISSN: 1558-2361
DOI: 10.1109/LSP.2013.2241424
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