# 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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### Estimation filter [closed]

Can anybody explain me the basic difference between kalman filter and particle filter? For the process of estimation which is the best filter to be ised among them and why? Please provide some example ...
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### General questions on Kalman filter and difference

In the wikipedia Kalman filter link, the state variable $x_k$ takes a continuous value say a floating point number, but what if the values are integer say symbols from an alphabet set, then how does ...
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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 $R_k$ ...
479 views

### Discretize process noise in Kalman filter

Reading P. Andrews et al. I see that it is very common to do the following approximation of the process noise covariance matrix: $$Q_{k} = G_{k-1}QG_{k-1}^{T}\Delta t$$ so that the propagation ...
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### Kalman Filter's Correlation Formula

I'm reading a book where the autocorrelation of white noise is expressed as: What is the term $Q(k)$ and why is is expressed as an average value of a dot product ?
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### How to implement discrete extended kalman filter in matlab

I have a nonlinear system, and I need to use the extended kalman filter to estimate it. I know I need the jacobian, but once I get that, is everything else the same as the normal kalman filter? I ...
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### How can a RLS algorithm utilise Wiener filter as FIR (M-tap) block?

I'm currently working with a dataset of $5000$ pulses of $N=15000$ samples each. I managed to implement the RLS algorithms with a FIR M-Tap filter such that $M\leq 15000$ ($150$ seems to achieve the ...