I have experience with the design of FIR, IIR digital filters. I also know about the Kalman filter, but I am not skilled at using them. Consider the case of a low frequency signal from discrete samples and the signal is corrupted by high frequency noise. It seems a digital low pass filter and a Kalman filter are two ways of removing the high frequency noise. When is it best to use a digital low pass filter, and when is it best to use a Kalman filter?
* EDIT * More specifically, it seems a FIR filter with linear phase or an IIR filter with nearly linear phase might be a better estimator than a Kalman filter in some cases. This might be true when the desired signal is low frequency and the noise is limited to the upper frequencies. A Kalman filter is designed for Gaussian noise, and I described a case where a linear phase digital low pass filter would work very well.