Divergence of the discrete-time Kalman filter under incorrect noise covariances for linear periodic systems

Presents the divergence analysis of the Kalman filter under incorrect noise covariances for linear periodic discrete-time systems. The filter performance is quantified by the actual one-step predictor error covariance, and the divergent behavior of the filter is investigated through this quantity. The investigation results provide useful insights in the divergent behavior of the Kalman filter under incorrect noise covariances for linear periodic discrete-time systems.