Comparative analysis of the estimation process dynamics for a common and a stationary Kalman filter

Comparative analysis is performed for a the process dynamic in a common and a stationary Kalman filter in the case of linear stationary systems. Variations of the associated covariance matrices of estimation errors are compared. For the difference between covariance matrices of estimation errors in the filters an upperbound is specified which depends on the plant parameters, noise characteristics, and the initial value of the estimation error covariance matrix.