Linear Optimal Filters and Predictors
Mohinder S. Grewal, Angus P. Andrews · 2008
This chapter contains sections titled: Chapter Focus Kalman Filter Kalman–Bucy Filter Optimal Linear Predictors Correlated Noise Sources Relationships Between Kalman–Bucy and Wiener Filters Quadratic Loss Functions Matrix Riccati Differential Equation Matrix Riccati Equation In Discrete Time Model Equations for Transformed State Variables Application of Kalman Filters Summary Problems