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Estimation II Ian Reid Hilary Term, 2001
1 Discrete-time Kalman filter
We ended the first part of this course deriving the Discrete-Time Kalman Filter as a recursive Bayes’ estimator. In this lecture we will go into the filter in more detail, and provide a new derivation for the Kalman filter, this time based on the idea of Linear Minimum Variance (LMV) estimation of discrete-time systems.
1.1 Background
The problem we are seeking to solve is the continual estimation of a set of parameters whose values