The Kalman-Bucy filter revisited,
with Russell Johnson,
Discrete Cont. Dyn.
Sys. - Ser. A 34 (10)
(2014), 4139-4153.
The properties of the error covariance matrix and the asymptotic error
covariance matrix of the
Kalman-Bucy filter model
with time-varying coefficients are studied. Techniques of the theory of
nonautonomous differential
systems as the exponential dichotomy concept and the rotation
number
are fundamental tools for the analysis.
