An Analytic Analysis of a Kalman Filter and Smoother
ELECTRONICS RESEARCH LAB ADELAIDE (AUSTRALIA)
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A Kalman filter and smoother which uses data from position measuring instrumentation to estimate changes in position, velocity, and acceleration is derived in detailed analytic form. The filtering and smoothing characteristics are shown to be completely determined by a single nondimensional parameter, which itself is a simple function of the input parameters to the filter. The concept of the bandwidth of the filter and the smoother is examined, and analytic expressions are derived for the bandwidth of the smoother, and of the filter with respect to position. The analysis highlights situations in which the smoother is clearly superior to the filter.
- Target Direction, Range and Position Finding