Linear Filtering Theory
The most valuable achievements to date of the filtering theory of Chapter 8 belong to the linear theory which forms the subject of the present chapter and which is associated with the names of Kalman and Bucy. The Kalman filter (as this theory has come to be known) has a central place in our discussion of linear filtering not merely because of the fact that it is the precursor of the general nonlinear theory treated in Chapter 8 (and is still its most important special case) but because of its extensive applications in the post-Sputnik era to problems of tracking of satellites, signal detection, stochastic control, and aerospace engineering.
KeywordsWhite Noise Kalman Filter Gaussian Process Innovation Process Stochastic Equation
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