# Questions tagged [kalman-filters]

The Kalman filter is a mathematical method using noisy measurements observed over time to produce values that tend to be closer to the true values of the measurements and their associated calculated values.

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### What Is the Relationship Between a Kalman Filter and Polynomial Regression?

What is the relationship, if any, between Kalman filtering and (repeated, if necessary) least squares polynomial regression?
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### How to understand Kalman gain intuitively?

The Kalman filter algorithm works as follows Initialize $\hat{\textbf{x}}_{0|0}$ and $\textbf{P}_{0|0}$. At each iteration $k=1,\dots,n$ Predict Predicted (a priori) state estimate ...
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### Kalman filter for position and velocity: introducing speed estimates

Thanks to everyone who posted comments/answers to my query yesterday (Implementing a Kalman filter for position, velocity, acceleration ). I've been looking at what was recommended, and in particular ...
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### Kalman filter in practice

I have read the description of the Kalman filter, but I am not clear on how it comes together in practice. It appears to be primarily targeted at mechanical or electrical systems since it wants linear ...
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### Should the input of a Kalman filter always be a signal and its derivative?

I always see the Kalman filter used with such input data. For example, the inputs are commonly a position and the correspondent velocity: $$(x, \dfrac{dx}{dt})$$ In my case, I only have 2D ...
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### Extended Kalman Filter (EKF) for Non Linear (Coordinate Conversion - Polar to Cartesian) Measurements and Linear Predictions

I'm new to Kalman filtering and state estimation and I'd like some guidance on EKFs. Currently, I'm trying to use a linear prediction model coupled with nonlinear measurements to estimate the state ...
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### How to Determine Covariance Matrix $Q$ and $R$ in Kalman Filter

I am implementing getting orientation from smartphone. I want to use Kalman filter and should determine process noise covariance matrix $Q$ and measurement noise covariance matrix $R$. (newbie to ...
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### Why Does the Kalman Filter Remove Only Gaussian Noise?

What and where in the derivation of the Kalman filter is the assumption of Gaussian noise? Why and how does this assumption help?
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### Estimate and Track the Amplitude, Frequency and Phase of a Sine Signal Using a Kalman Filter

There is sinusoidally controlled signal, which other than being noisy, can change values for amplitude, frequency, phase and offset. At every new sample a new sine is fitted for the last N samples. ...
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### Why Runge-Kutta for Quaternion integration in Kalman filter?

I'm reading up on Kalman filtering at the moment. In particular, I'm interested in using the "extended" and "unscented" variants for IMU sensor fusion and calibration. In A comparison of unscented ...
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### Kalman Filter Covariance

I've recently started playing with the Kalman filter for a simple 2D (x,y,dx,dy) tracking toy problem. But I seem to have some misunderstanding on what I can expect from the filter. I'm interested in ...
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### Kalman Filter: How to Define Inputs and Outputs of a Model

I'm a software engineer with a CS degree working in machine learning. I'm trying to learn about Kalman Filters. In this short YouTube video from Mathworks, there's a discussion on a Kalman Filter with ...
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### Deriving the Matrix Inversion Lemma for RLS Equations vs the Woodbury Derivation

Can any one help me in deriving the matrix inversion lemma rule for RLS algorithm? I don't know how to start with. Many books have just stated but they haven't derived it.
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### Can a state space model have changing state size over time?

I have worked with state space models in relation to Kalman estimation. Here I have always seen state space models with fixed state size over time, i.e. the state transition matrix is square. Let us ...
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### Fundamental questions about state-space and Kalman filters

I am a dsp guy, I only did a minimum of control theory back in university. While trying to grok state space analysis and (discrete time) regular Kalman filters, I am hitting a few questions that ...
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### "Bi Directional" Kalman Filter - Kalman Filter for Smoothing

I am working on a project in Object Tracking, i.e. need to predict the location of next bounding box. I used a Hungarian algorithm with a Kalman Filter (which is a common method in this domain) which ...
### Question About $Q$ Matrix (Model Process Covariance) in Kalman Filter
I am implementing my own discrete Kalman filter to estimate velocity from acceleration and position measurements (using Matlab ). I think I managed to deal with the $R$ matrix (measurements noise ...