A STEADY-STATE KALMAN FILTER AND ITS ASYMPTOTIC STABILITY

Using the modern time series analysis method,based on the ARMA innovation model and white noise estimators, a steady-state Kalman filter is presented for completely observable discrete linear stochastic systems,where two new algorithms of steady-state Kalman filter gain are given, and a formula of setting the initial value of filter is given to ensure asymptotic stability of filter. A simulation example shows its usefulness.