Hi to all,

I have been also confused about the covariance matrix of the Kalman filter. I have a Kalman filter which has 9 states and therefore 9 X 9
error covariance matrix which is updated at the every time step.

My question is;

How can i be sure that the Kalman filter works properly by using the error covariance matrices. Should the norm of the error covariance matrix converge to zero or any constant value?

The same problem is valid for the Kalman gains. Should the Kalman gains converge to zero or to any constant value?

Are there any other metrics for evaluating the Kalman filter performance?

Best regards from Germany

Volkan Ozturk

Robert Bosch GmbH

Stuttgart/Germany

I have been also confused about the covariance matrix of the Kalman filter. I have a Kalman filter which has 9 states and therefore 9 X 9

My question is;

How can i be sure that the Kalman filter works properly by using the error covariance matrices. Should the norm of the error covariance matrix converge to zero or any constant value?

The same problem is valid for the Kalman gains. Should the Kalman gains converge to zero or to any constant value?

Are there any other metrics for evaluating the Kalman filter performance?

Best regards from Germany

Volkan Ozturk

Robert Bosch GmbH

Stuttgart/Germany