An Introduction to the Discrete Kalman Filter with Some Applications.
ADMIRALTY UNDERWATER WEAPONS ESTABLISHMENT PORTLAND (ENGLAND)
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The essential components of a Kalman filter are defined, and the equations describing the simplest form of filter are derived. Certain features of the equations are highlighted and examples of the use of the equations are given. A connection between the Kalman filter and a least squares approach is indicated. Some practical difficulties in the application of the Kalman filter equations are described, and various methods of overcoming the difficulties are discussed.
- Statistics and Probability