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When does the Kalman filter get best performance?
Theoretically,when the parameter of filter model equals to the parameter of a model which produce signal ,Kalman filter shall get the best performance,means the minimum error.
But,in my matlab simulation,a different parameter value get a better performance then the truth parameter value dose.It puzzles me a lot.I’m sure my code is right.who can give me a explaination?thanks!
Theoretically,when the parameter of filter model equals to the parameter of a model which produce signal ,Kalman filter shall get the best performance,means the minimum error.
But,in my matlab simulation,a different parameter value get a better performance then the truth parameter value dose.It puzzles me a lot.I’m sure my code is right.who can give me a explaination?thanks!