Convergence Analysis of Extended Kalman Filter in a Noisy Environment Through Difference Equations

In this paper, the convergence aspects of the Extended Kalman Filter, when used as a deterministic observer for a nonlinear discrete-time systems, are addressed and analyzed.The conditions needed to ensure the boundedness of the error covariances which are related to the observability properties of the nonlinear systems are identified through difference equations.Furthermore, boundedness and stability conditions are provided in a noisy environment systems.