4 ms·
even as a static model, it is not a low pass filter. in fact, in the static case, a kalman filter is exactly the same as the recursive least squares estimator,
by gmadsen 4y ago
even as a static model, it is not a low pass filter.
in fact, in the static case, a kalman filter is exactly the same as the recursive least squares estimator, which is provably the optimal unbiased estimator
- jbay808 4y agoIn the static case, the Kalman filter converges to a fixed (frequency domain) filter after running for a while. The type of frequency behaviour depends on the system properties. The filter it converges to is the Wiener filter for that system.