Online Stochastic Convergence Analysis of the Kalman Filter

Table 1

Assumed covariance matrices.

Case number	Q	R
1	𝐸𝐰𝑘𝐰^𝑇𝑘	𝐸𝐯𝑘𝐯^𝑇𝑘
2	100𝐸𝐰𝑘𝐰^𝑇𝑘	𝐸𝐯𝑘𝐯^𝑇𝑘
3	𝐸𝐰𝑘𝐰^𝑇𝑘	100𝐸𝐯𝑘𝐯^𝑇𝑘
4	100𝐸𝐰𝑘𝐰^𝑇𝑘	100𝐸𝐯𝑘𝐯^𝑇𝑘