# 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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### Unable to understand how the paper simplifies the covariance matrix - Kalman filter

The paper Convergence Analysis of the Unscented Kalman Filter for Filtering Noisy Chaotic Signals presents the convergence analysis of Unscented Kalman Filter download http://www.eie.polyu.edu.hk/~...
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### Kalman filtering of signals

In the framework of the Kalman filter How can we check errors are Gaussian and independent? If the processes are not stationary, could that be a problem? If I have the unobservable variables that are ...
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### Extended kalman filter for linear system

I studied about Kalman filter(KF) for about a week. And I understand that Kalman filter(KF) is suitable for linear system and extended Kalman filter(EKF) can be used for nonlinear system. However, I ...
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### How to form Kalman filtering matrices for a problem with variable acceleration?

Assuming we have time vector $T$ with constant time step $dt$ position vector $X$ velocity vector $V$ acceleration vector $A$ All vectors $X, V, A$ have noise on their measurement ( $n_x$ , $n_v$ , ...
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### can measurements go out of the uncertainty bounds?

In the below picture, the measurements are inside the $\pm 3 \sigma$ bounds. In my experiment, the measurements sometimes go out of the uncertainty bounds. This is a snapshot of my plot where the ...
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### Picking out a signal that appears to be noise inside a large signal

I have a signal from a photodiode sensor that has two types of noise. One type of noise is ambient light white noise that gets introduced just from the surrounding environemnt. The other type of noise ...
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### Adding measuruments noises to kalman filter

I'm implementing navigation system for my robot. There are two ways to get data from it: odometry(encoders from motors) and camera. Both of information sources can give me estimate of robot's position....
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### Re-implementing the "spectrogram" function from matlab

I am trying to make a spectrogram viewer without using the spectrogram command. For this purpose, I used a sin function. I broke up the input signal into 256 segments, multiplied each segment with the ...
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### Mixing Constrained Properties in an Interacting Multiple Model Filter

While implementing an Interacting Multiple Model tracking filter with one model being a constant turn rate model, I began questioning how the mix should behave while taking into account that some ...
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### Is the discrete or continuous-time state-space model most appropriate for implementing an embedded Kalman filter? [duplicate]

I'm writing down a state-space model of a mathematical pendulum, in order to estimate the system parameters in an embedded simple Kalman filter. So far I'm just modeling the system in Matlab and haven'...
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### If there are state variables in the Kalman filter that aren't being measured, is their output just rubbish?

I've been learning about the Kalman filter on this website: https://www.kalmanfilter.net/multiExamples.html As you can see there is a numerical example regarding a car that is traveling in a 2 ...
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### Space-Time Finite Element and Static Condensation for Sensor Fusion

My recent pastime interest deals with the nonlinear sensor fusion of GNSS, barometer, magnetometer, accelerometer and gyroscope data. I had a look at the EKF, UKF and Particle Filters but gave up as ...
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### Kalman Filter implementation is too slow

I have implemented with a simple code a Kalman Filter for time domain, based on these: KG = error_est / (error_est+error_measurment) estimate = estimate_prev + KG ( measurment - estimate_prev) ...
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### Are there any general heuristics for Kalman filter noise parameters

Are there any generally applicable heuristics for Kalman filter noise parameters? I am working with a non-linear unscented filter and getting an initial guess for the noise covariances $Q_k$ and $R_k$ ...
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### Extended Kalman Filter measurment vs input vector

What is difference between measurement and input vector in Extended Kalman Filter? Isn't always input also measurement? If so how to update input vector if I have acceleration or yawrate as input ...
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### Does Kalman Consensus Filter have any public implementations?

I am trying to solve a problem using the KCF described here: https://ieeexplore.ieee.org/document/5399678 Does there exist an implementation of this (preferably in python) which is available openly? I ...
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### Can we combine the application of SIFT with Kalman filter for 3D reconstruction of structural buildings?

This is just a novice question from somebody who just got into this topic. Can the application of Scale-Invariant Feature Transform be combined with extended Kalman Filter?
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### UKF with nonlinear noise effect

I was recently experimenting with UKF that compensates nonlinear effects of noises by forming appended state vector. The general way of dealing with such case in the literature is the following: Form ...
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### Parameter tracking using Augmented state vector approach and unscented Kalman filter

I'm trying to reproduce and extend figure 9 results in Nonlinear dynamical system identification from uncertain and indirect measurements"HU Voss, J Timmer, J Kurths - International Journal of ...
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### Using Kalman filter for high-dimensional observation

My observation space is essentially a noisy high-resolution video. In this case, regular Kalman filter doesn't work because the covariance matrix is of size (pixel x pixel) and just doesn't fit in ...
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### Making Unscented Kalman Filter Robust for Nonlinear Parameter Estimation Problems

So I have built code for an Unscented Kalman filter that can take any specified state and measurement dynamics. I have tested it on various linear problems and it works well, as expected. The main ...
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### Extended Kalman filter (EKF)

I am working on the localization problem of an underwater vehicle. However the problem is still in very simple and it does not matter that it is about underwater. How can I use the EKF when I have ...
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### Tracking position and velocity using a kalman filter

I am using a kalman filter (constant velocity model) to track postion and velocity of an object. I measure x,y of the object and track x,y,vx,vy . Which works but if a add gausian noise of +- 20 mm to ...
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### What f() for unscented kalman filter for stock trading?

I am trying to estimate to "next" price of a stock, based on a group of 5 other correlated stocks. I believe this is a 6 state unscented Kalman problem. However, I do not know how to describe ...
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### What is pulse train filter?

I have recently seen some code written in modelling tool like Simulink, ASCET which uses PT1 filter? Why do we use a pulse train filter? What is the difference between FIR, IIR, Chebyschev, ...