Understanding the Kalman Filter
- 1 May 1983
- journal article
- research article
- Published by Taylor & Francis in The American Statistician
- Vol. 37 (2) , 123-127
- https://doi.org/10.1080/00031305.1983.10482723
Abstract
This is an expository article. Here we show how the successfully used Kalman filter, popular with control engineers and other scientists, can be easily understood by statisticians if we use a Bayesian formulation and some well-known results in multivariate statistics. We also give a simple example illustrating the use of the Kalman filter for quality control work.Keywords
This publication has 3 references indexed in Scilit:
- Bayesian ForecastingJournal of the Royal Statistical Society Series B: Statistical Methodology, 1976
- A Bayesian Approach to Short-term ForecastingJournal of the Operational Research Society, 1971
- New Results in Linear Filtering and Prediction TheoryJournal of Basic Engineering, 1961