Exponential data weighting in the Kalman-Bucy filter
نویسنده
چکیده
The use a€ exponential weighting of data (favoring more recent data) is considered for continuous-time and discrete-time Kalman-Bucy filters. Quantitative consideration is given to matters such as the computation, stability and statianarity of filters designed with data weighting. The problem of divergence or data saturation is explored, and the use of exponential weighting is compared with other techniques for dealing with the problem.
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عنوان ژورنال:
- Inf. Sci.
دوره 5 شماره
صفحات -
تاریخ انتشار 1973