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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.

In statistics, the Kalman filter is a mathematical method named after Rudolf E. Kálmán. Its purpose is to use measurements observed over time, containing noise (random variations) and other inaccuracies, and produce values that tend to be closer to the true values of the measurements and their associated calculated values. The Kalman filter has many applications in technology, and is an essential part of space and military technology development. A very simple example and perhaps the most commonly used type of Kalman filter is the phase-locked loop, which is now ubiquitous in FM radios and most electronic communications equipment. Extensions and generalizations to the method have also been developed.

Source: Kalman filter article of Wikipedia

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