IEEE Transactions on Automatic Control, Vol.55, No.2, 514-518, 2010
Stochastic Stability of the Extended Kalman Filter With Intermittent Observations
In this technical note, we analyze the error behavior of the discrete-time extended Kalman filter for nonlinear systems with intermittent observations. Modelling the arrival of the observations as a random process, we show that, given a certain regularity of the system, the estimation error remains bounded if the noise covariance and the initial estimation error are small enough. We also study the effect of different measurement models on the bounds for the error covariance matrices.