Kalman filter and extended Kalman filter

Kuupäev

2017

Ajakirja pealkiri

Ajakirja ISSN

Köite pealkiri

Kirjastaja

Abstrakt

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.

Kirjeldus

Märksõnad

random variables, estimation, normal distribution, noise, Kalman filters

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