The relation between the time-varying optimal algorithms of Kalman filtering and the time-invariant algorithms obtained within the framework of the frequency approach using the approximate method of local approximation of spectral densities was revealed. Introduced was the notion of time-and-frequency approach lying in combined use of the Kalman and frequency approaches, including the method of local approximation. Consideration was given to the examples of processing the navigation information, and the practical importance of the results obtained was discussed.
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