It is also something you use when things go “wrong.” [Carcano] recently posted a tutorial on Kalman filter equations that tries to demystify the topic.

For example, if you have a robot that has an idea of where it is via GPS, dead reckoning, and an optical system, Kalman filter can help you better estimate your true position even though all of ...

This course introduces the Kalman filter as a method that can solve problems related to estimating the hidden internal state of a dynamic system. It develops the background theoretical topics in state ...

This example estimates the normal SSM of the mink-muskrat data using the EM algorithm. The mink-muskrat series are detrended. Refer to Harvey (1989) for details of this data set. Since this EM ...

Output 10.2.2 shows the observed data, the predicted state vectors, and the filtered state vectors for the first 16 observations. Output 10.2.2: Filtering and One-Step Prediction ...

The use of Kalman filter methods for high-performance order tracking of noise and vibration signals was introduced in 1993. Based on experience with that original formulation, further work has ...