The Kalman-Bucy filter accuracy in the guaranteed parameter estimation problem with uncertain statistics

The guaranteed parameter estimation problem for a linear dynamical system with uncertain disturbance statistics is considered. The estimate of the Kalman-Bucy filter nonoptimality degree is constructed. It is based on the duality theory. This estimate is determined by the Kalman-Bucy filter characteristics only and can be calculated without knowledge of the accurate solution of the optimal guaranteed estimation problem.<
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