I have implemented Kalman Filter for state estimation of AR(2) univariate model and wanted to plot the Kalman Gain. When implementing, I saw that Kalman gain for every sample is getting computed and is a matrix of dimension 2 rows by 1 column. After few samples, the Kalman Gain does not change and the value is
What does this imply? Can convergence be inferred from the plot of Kalman Gain values so computed? If so, then which value should I take out of the 2 rows?
The following graph shows the plot of KAlman GAin computed for a uni-dimensional non - linear dynamical system and EKF when doing state estimation.