Space‐Time Kalman Filter
Noel Cressie, Christopher K. Wikle · Encyclopedia of Environmetrics · 2006
Abstract The Kalman filter arose out of R.E. Kalman's interest in applying the concept of state vectors to the Wiener filtering problem. The success of this method was evident in early applications to trajectory estimation and control of spacecraft; it was so successful, in fact, that the Kalman filter quickly became an essential component of modern control systems theory and practice. This initial success led to the propagation of Kalman‐filtering ideas to other scientific disciplines, within which the methodology was adapted to suit numerous state–space oriented problems. Kalman filtering (of spatial data) is still an active area of research in the atmospheric and oceanic sciences.