I have always used Kalman Filter to smooth a signal comes from one sensor only.
I would like to know if Kalman Filter could be used to fuse data coming from two different sensors that provide the same type of reading. An example is fusing the position data that comes from the GPS with the position data that is calculated from the IMU. In the light of this example, I wish to have the following:
- State vector: [x;y]
- measurements vector: [x_imu;y_imu;x_gps;y_gps]
Let me know if you need more information/clarification.