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Convergence of the Kalman filter gain for a class of nondetectable signal extraction problems

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1 Author(s)

Convergence of the filter gain is proved for a class of problems with undetectable modes on the unit circle. This situation arises when the signal is an unstable ARMA process corrupted by ARMA noise with the same unstable modes, since modes common to signal and noise are unobservable.

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Automatic Control, IEEE Transactions on  (Volume:32 ,  Issue: 11 )