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Kalman Filter: Why do we decrease the state uncertainty regardless of the current measurement?

I am currently building a 1D Kalman filter for tracking stock trends as a daytrader, and find the YouTube KF lectures by Michel van Biezen (which is also the name of his YouTube channel) to be very ...
David Murray's user avatar
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In EKF should Kalman Gain converge to a specific value?

... first question is whether this is correct (convergence of the Kalman gain matrix to a steady state) and it should happen. Maybe, maybe not. If you're modeling a linear, time-invariant system, ...
TimWescott's user avatar
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Intuitive understanding of the relationship between the variance of a Wiener process and the variance of white noise

A sampled white noise has a finite variance, not infinite variance. A continuous white noise signal, which has infinite bandwidth, is a purely theoretical construction and will be limited in practice ...
Dan Boschen's user avatar
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