Kalman Filter: A Simple Derivation
Ali M. Mosammam · Mathematics and Statistics · 2015
The Kalman filter is a recursive estimator and plays a fundamental role in statistics for filtering, prediction and smoothing. The key element in any recursive estimator is the estimate of the current state, xk, at time k, based on observations up to and including observation k and the Kalman filter enables the estimate of the state to be updated as new observations become available. In this paper we have tried to derive the Kalman filter as simple as possible.