Asymptotic Properties of Extended Kalman Filters for a Class of Nonlinear Systems

We study the closed-loop behavior of the ex-tended Kalman filter for a class of deterministic nonlinear systems that are transformable to the special normal form with linear internal dynamics. We argue that the closed-loop system is asymptotically stable and the estimation error exponentially converges to zero. We compare the performance of the extended Kalman filter to a high-gain observer through the use of numerical examples.