Kalman filter and extended Kalman filter
Järvsoo, Johanna Adele
In the Bachelor’s thesis we describe the Kalman filtering algorithm for linear-Gaussian state space models and give an example of its application. We describe the extended Kalman filter for differentiable Gaussian state space models and give examples of its application. We show that for linear-Gaussian state space models the extended Kalman filter gives the same results as the Kalman filter.