Use of optimal estimation theory, in particular the Kalman filter, in data analysis and signal processing
- 1 November 1986
- journal article
- Published by AIP Publishing in Review of Scientific Instruments
- Vol. 57 (11) , 2862-2869
- https://doi.org/10.1063/1.1139005
Abstract
The Kalman filter, a powerful and useful optimal estimation technique, does not seem to be widely known among physicists. Here we outline the derivation of the algorithm, and give three examples of its use: (a) in estimating the value of a constant, with both system and measurement noise, (b) in numerical differentiation of noisy data, and (c) in optimally estimating the amplitude of a signal with arbitrary but known time dependence superimposed on a noisy background.Keywords
This publication has 3 references indexed in Scilit:
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