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