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Wiener and Kalman-Bucy estimation problems assume that models describing the signal and noise stochastic processes are exactly known. When this modeling information, i.e., the signal and noise spectral densities for Wiener filter and the signal and noise dynamic system and disturbing noise representations for Kalman-Bucy filtering, is inexactly known, then the filter's performance is suboptimal and may even exhibit apparent divergence. In this paper a system is designed whereby the actual estimation error covariance is bounded by the covariance calculated by the estimator. Therefore, the estimator obtains a bound on the actual error covariance which is not available, and also prevents its apparent divergence.

Optimum bounding filters are derived for a specific version (steady state time-invariant with scalar observations) of the Kalman-Bucy filtering problem with inexactly known system parameters and for the Wiener filtering problem with inexactly known spectral densities. The designed filter obtains a bound on the actual error covariance which is not known, and it also prevents apparent divergence. Conditions are derived for the design of the optimum bounding filter within a permissible class of solutions; this turns out to be the min-max mean-square error filter for an extended class of solutions. The bounding filter can be of lower order than the original system, and a technique is devised for reducing the order of the filtering system and concurrently obtaining a figure of merit for its performance.

Discrete Kalman-Bucy linear filtering with inaccurate noise covariances, considering optimal and suboptimal systems, error analysis, probability theory, etc