Moderate Deviations of a Random Riccati Equation

  title={Moderate Deviations of a Random Riccati Equation},
  author={Soummya Kar and Jos{\'e} M. F. Moura},
  journal={IEEE Transactions on Automatic Control},
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
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