Kalman Filter: A Simple Derivation
نویسندگان
چکیده
منابع مشابه
A Matrix Theoretic Derivation of the Kalman Filter∗
We present a matrix theoretic derivation of the Kalman filter—motivated by the statistical technique of minimum variance estimation—in order to make its theoretical underpinnings accessible to a broader audience. Standard derivations of the filter utilize probabilistic arguments that are less familiar to the matrix analyst and computational mathematician.
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ژورنال
عنوان ژورنال: Mathematics and Statistics
سال: 2015
ISSN: 2332-2071,2332-2144
DOI: 10.13189/ms.2015.030203