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		Li XIE.[en_title][J].Control Theory and Technology,2018,16(3):203~211.[Copy]

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Limit behaviors of extended Kalman filter as a parameter estimator for a sinusoidal signal
LiXIE
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(State Key Laboratory of Alternate Electrical Power System with Renewable Energy Sources, School of Control and Computer Engineering, North China Electric Power University, Beijing 102206, China)

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DOI：https://doi.org/10.1007/s11768-018-7280-5

基金项目:This work was supported by the National Natural Science Foundation of China (No. 61374084).

Limit behaviors of extended Kalman filter as a parameter estimator for a sinusoidal signal

Li XIE

(State Key Laboratory of Alternate Electrical Power System with Renewable Energy Sources, School of Control and Computer Engineering, North China Electric Power University, Beijing 102206, China)

Abstract:

In this note, the basic limit behaviors of the solution to Riccati equation in the extended Kalman filter as a parameter estimator for a sinusoidal signal are analytically investigated by using lim sup and lim inf in advanced calculus. We show that if the covariance matrix has a limit, then it must be a zero matrix.

Key words: Extended Kalman filter, parameter estimator, sinusoidal signal, covariance matrix, limit behavior