Closed-Form Approximation for the Convergence Time of pth-Order Kalman Filters.

The Kalman filter is used in a myriad of applications for estimating a set of time-varying parameters in the minimum mean square error sense. When designing the filter, one of the points of most relevant interest is predicting its estimation performance. However, it is often difficult to find expressions in closed form that allow obtaining this information in a straightforward manner. As a consequ...