When the observation noise is temporal correlation, Kalman Filter will not be able to achieve optimization, and its covariance matrix will be wrong.
When the observation noise is temporal correlation, Kalman Filter will not be able to achieve optimization, and its covariance matrix will be wrong.
在观测噪声不满足时间不相关的假设情况下，卡尔曼滤波将达不到最优滤波效果，并且其误差协方差阵也是错误的。