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Author here. Yes, if the system has a high-pass behaviour, then the corresponding Kalman filter will converge to a high-pass filter, and so on. Non-low-pass-lik
by jbay808 4y ago
Author here. Yes, if the system has a high-pass behaviour, then the corresponding Kalman filter will converge to a high-pass filter, and so on. Non-low-pass-like behaviour can emerge from the prediction step, if the model is not unitary. If there's interest, I might write a followup article where a Kalman filter takes on a bandpass nature.
- galangalalgol 4y agoI have seen it derived that it is equivalent to a matched filter, but I could not repeat said derivation.
- motohagiography 4y agoI read Gaussian and Cauchy distributions as inputs, but can you add arbitrary distributions other than those two examples, and expect the filter to yield artifacts from those distributions? Naively, I'm thinking of different coloured noise as inputs, and what kind of artifacts a Kalman filter would produce over them.
- freemint 4y agoWith multi modal distribution you can end up stuck in any of the modes or even stuck in a low likelihood region in between the modes.
- roger_ 4y agoI'd expect BPF behavior when estimating the rate of a noisy input (e.g. state: speed, observation: position), but I can't think of a process model that would be truly high-pass.
- buescher 4y agoAmbient temperature effects on a photodiode.