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• W1760063196 abstract "This article is concerned with the convergence of the state estimate obtained from the discrete-time Kalman filter to the continuous time estimate as the temporal discretisation is refined. The convergence follows from Martingale convergence theorem as demonstrated below; however, surprisingly, no results exist on the rate of convergence. We derive convergence rate estimates for the discrete-time Kalman filter estimate for finite and infinite dimensional systems. The proofs are based on applying the discrete-time Kalman filter on a dense numerable subset of a certain time interval [0, T]." @default.
• W1760063196 created "2016-06-24" @default.
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• W1760063196 date "2015-10-04" @default.
• W1760063196 modified "2023-09-26" @default.
• W1760063196 title "Convergence of discrete-time Kalman filter estimate to continuous time estimate" @default.
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• W1760063196 doi "https://doi.org/10.1080/00207179.2015.1090017" @default.
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