H∞-property of the discrete-time extended Kalman filter with uncertain measurements

This work analyzes the finite-time H
_∞
-property of the discrete-time extended Kalman filter in the presence of uncertain measurements and stochastic ℓ
₂
type disturbances. The stochastic analysis provides a bound on the ratio of estimation error energy to disturbance energy. A special case of this result is also shown to be the finite-time H
₂
-property of the extended Kalman filter.