The Kalman Filter
Kalman Filter Basic IntroIntroductionThe Kalman Filter (KF) is a set of mathematical equations that when operating together implement a predictorcorrector type of estimator that is optimal in the sense that it minimizes the estimated error covariance when some presumed conditions are met. Mathematical FormulationThe KF addresses the general problem of trying to estimate the state with a measurement The random variables
The How the KF worksThe KF process has two steps, namely: Prediction Update where: 
