IEEE Transactions on Automatic Control, Vol.44, No.4, 714-728, 1999
Stochastic stability of the discrete-time extended Kalman filter
In this paper, the authors analyze the error behavior for the discrete-time extended Kalman filter for general nonlinear systems in a stochastic framework. Tn particular, it is shown that the estimation error remains bounded if the system satisfies the nonlinear observability rank condition and the initial estimation error as well as the disturbing noise terms are small enough. This result is verified by numerical simulations for an example system.