SI&DA - Lecture 24 'Properties of the Kalman Filter'

Introduction

If the matrices that form the model $\mathcal{M}(A,B,C,G,Q,R)$ are Time-Invariant (none of them depends on $t$, the matrices are constants), then we can say that, for $t\to \infty$ we have some interesting properties, in an example we have seen that with a LTI model the matrices $P$ and $K$ (that are modified at each iteration of the KF Algorithm) reach very soon a condition of stability.

---