Exponential data weighting in the Kalman-Bucy filter

Brian D.O. Anderson

doi:10.1016/0020-0255(73)90015-7

Exponential data weighting in the Kalman-Bucy filter

Brian D.O. Anderson^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

26 Citations (Scopus)

Abstract

The use of 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 stationarity 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.

Original language	English
Pages (from-to)	217-230
Number of pages	14
Journal	Information Sciences
Volume	5
Issue number	C
DOIs	https://doi.org/10.1016/0020-0255(73)90015-7
Publication status	Published - 1973
Externally published	Yes

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10.1016/0020-0255(73)90015-7

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title = "Exponential data weighting in the Kalman-Bucy filter",

abstract = "The use of 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 stationarity 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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AB - The use of 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 stationarity 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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VL - 5

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JO - Information Sciences

JF - Information Sciences

IS - C

ER -

Exponential data weighting in the Kalman-Bucy filter

Abstract

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