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Type: Journal article
Title: A Zakai equation derivation of the extended Kalman filter
Author: Elliott, R.
Haykin, S.
Citation: Automatica, 2010; 46(3):620-624
Publisher: Pergamon-Elsevier Science Ltd
Issue Date: 2010
ISSN: 0005-1098
Statement of
Robert J. Elliott, Simon Haykin
Abstract: A discrete time filter is considered where both the observation and signal process have non-linear dynamics with additive Gaussian noise. Using the reference probability framework a convolution type Zakai equation is obtained which updates the unnormalized conditional density. Using first order approximations this equation can be solved recursively and the extended Kalman filter can be derived.
Keywords: Extended Kalman filter
Bayes’ rule
Zakai equation
Discrete time
Rights: Copyright © 2010 Elsevier Ltd All rights reserved.
DOI: 10.1016/j.automatica.2010.01.006
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Mathematical Sciences publications

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