Kalman Filter: Overview
Glen Barnett, Ben Zehnwirth · Wiley StatsRef: Statistics Reference Online · 2014
Abstract The Kalman Filter is an efficient method of estimation for a state space model. Best linear unbiased estimates of the mean and variance of the unknown state are updated recursively as new data is added. It is used in many areas. In actuarial work it has been mainly applied to credibility and reserving applications.