In our derivation of the Kalman filter in Section 11.2, we assumed that the Gauss– Markov signal model (Equation 11.2-6) was zero-mean. Here we modify the Kalman filter to permit the general case of nonzero mean for . Let the Gauss–Markov signal model be
Equation 11.2-6
(c) Extend the Kalman filtering Equation 11.2-16 to the nonzero mean case by using the result of (b).
Equation 11.2-16
(d) How do the gain and error-covariance equations change?