@article{Kar2012ModerateDO,
title={Moderate Deviations of a Random Riccati Equation},
author={Soummya Kar and Jos{\'e} M. F. Moura},
journal={IEEE Transactions on Automatic Control},
year={2012},
volume={57},
pages={2250-2265}
}

The paper characterizes the invariant filtering measures resulting from Kalman filtering with intermittent observations in which the observation arrival is modeled as a Bernoulli process with packet arrival probability γ̅. Our prior work showed that, for γ̅ >; 0 , the sequence of random conditional error covariance matrices converges weakly to a unique invariant distribution μ<sup>γ̅</sup>. This paper shows that, as γ̅ approaches one, the family {μ<sup>γ̅</sup>}<sub>γ̅ >; 0</sub> satisfies a… CONTINUE READING