科研之友
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摘要
The characteristic of Kalman gain in a cubature Kalman filter for filtering 1-D chaotic signals is investigated. It is shown theoretically that the Kalman gain converges to zero for the case of periodic nonlinear systems, and it either approaches the Cramer-Rao lower bound or oscillates aperiodically for the case of chaotic nonlinear systems. Results from analysis of the Kalman gain are verified by simulations of some representative nonlinear systems.
