Optimal Measurement Period for State Observation Using Kalman Filters and Update Rate Dependent Measurement Noise

We consider a Kalman filter that estimates the states of a system where measurements are taken at discrete times. The measurement frequency can be adjusted, and it is assumed that the measurements become more precise with increasing measurement period. Hence, we investigate the inherent trade-off between accurate measurement and measuring frequently enough to achieve the best possible state estimate using the continuous-discrete KF.