The Discrete Kalman Filter
In Chapter 6, we discussed the problem of making recursive estimates of a random vector X. The problem was static in the sense that every measurement was used to update or improve the estimate of the same random vector X. We now consider the case where the random vector changes in time, between measurements, according to a specified statistical dynamic.
KeywordsKalman Filter Random Vector State Transition Matrix Maximum Entropy Principle Kalman Gain
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