A Few Problems with Application of the Kalman Filter

  • Carlo Carraro
Part of the Lecture Notes in Statistics book series (LNS, volume 57)


The Kalman filter, as proposed by Kalman(1960), has been widely applied to time-series analysis and statistical modelling. Results proposed in several disciplines, particularly in engineering, seem to show that the Kalman filter is a powerful tool for statistical estimation and forecast. However, in practice, some problems have to be solved before confidently using the Kalman filter. These problems are related both with the numerical accuracy of the algorithm proposed by Kalman, and with the estimation of parameters that in the conventional Kalman filter are assumed to be known.2


State Vector Kalman Filter Covariance Matrice Extend Kalman Filter State Space Model 
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Copyright information

© Springer-Verlag Berlin Heidelberg 1989

Authors and Affiliations

  • Carlo Carraro
    • 1
  1. 1.University of Venice and C.E.P.R.VeneziaItaly

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