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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.

8
votes
2answers
According to the Gauss-Markov Theorem, a ordinary least squares estimator is BLUE if the noise entering a system is uncorrelated with zero mean and is homoscedastic (has a constant finite variance). I …
asked Nov 6 '15 by sid
1
vote
0answers
Consider I have a dynamical system $\dot{x} = Ax + w(t)$, $x \in \mathbb{R^2}$ where $w(t)$ is a Gaussian random variable with mean $E(w(t)) = C\|x\|^2$ where $C \in R^2$ is a constant and covariance …
asked Nov 3 '15 by sid
2
votes
1answer
Consider I am modelling the dynamics of a robot and using a Kalman filter to obtain estimates of some state. I have certain terms in my equation which correspond to data not accessible to this robot ( …
asked Nov 5 '15 by sid