A fundamental open problem in linear filtering and estimation is
addressed, i.e. what is the steady-state or asymptotic behavior of the
Kalman filter, or the Kalman gain, when the observed stationary
stochastic process is not generated by a finite-dimensional stochastic
system, or when it is generated by a stochastic system having higher
dimensional unmodeled dynamics? For a scalar observation
... [Show full abstract] process,
necessary and sufficient conditions are derived for the Kalman filter to
converge, using methods from stochastic systems and from nonlinear
dynamics, especially the use of stable, unstable and center manifolds.
It is shown that, in nonconvergent cases, there exist periodic points of
every period p , p ⩾3 which are arbitrarily close to
initial conditions having unbounded orbits. This rigorously demonstrates
that the Kalman filter can also be sensitive to initial conditions