Kalman Filtering and Linear Regression Equivalence
Frederic Sipiere · SSRN Electronic Journal · 2014
The equivalence between Kalman filtering and linear regression is shown by linear regression examples in which the Gauss-Markov conditions are satisfied, giving regression coefficients that are the best linear unbiased estimates. As Kalman filtering produces linear unbiased estimates, the estimates are at best also the best linear unbiased estimates and therefore the same as a linear regression.