Comments on 'An Aperiodic Phenomenon of the Extended Kalman Filter in Filtering Noisy Chaotic Signals'

摘要

In the above paper, an aperiodic behavior of the Extended Kalman Filter (EKF) when filtering chaotic signals is reported. In this comment, we point out that this erratic behavior should be expected when filtering an aperiodic, time-varying signal. More interestingly, the convergence to a fixed point that is observed in some systems is due to the special form of the minimum Bayesian mean square error.