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Kalman and filter
Examples of algorithms are the Fast Fourier transform ( FFT ), finite impulse response ( FIR ) filter, Infinite impulse response ( IIR ) filter, and adaptive filters such as the Wiener and Kalman filters.
A well used state-space filter is the Kalman filter published by Rudolf Kalman in 1960.
* Kalman filter
* 2008: Rudolf E. Kalman for developing the Kalman filter.
The navigation system then uses a Kalman filter to integrate the always-available sensor data with the accurate but occasionally unavailable position information from the satellite data into a combined position fix.
The Kalman filter tracks the average state of a system as a vector x of length N and covariance as an N-by-N matrix P. The matrix P is always positive semi-definite, and can be decomposed into LL < sup > T </ sup >.
* Kalman filter
* Kalman filter
The Kalman filter keeps track of the estimated state of the system and the variance or uncertainty of the estimate.
The Kalman filter, also known as linear quadratic estimation ( LQE ), is an algorithm which uses a series of measurements observed over time, containing noise ( random variations ) and other inaccuracies, and produces estimates of unknown variables that tend to be more precise than those that would be based on a single measurement alone.
More formally, the Kalman filter operates recursively on streams of noisy input data to produce a statistically optimal estimate of the underlying system state.
The Kalman filter has numerous applications in technology.
Furthermore, the Kalman filter is a widely applied concept in time series analysis used in fields such as signal processing and econometrics.
The algorithm works in a two-step process: in the prediction step, the Kalman filter produces estimates of the current state variables, along with their uncertainties.
From a theoretical standpoint, the main assumption of the Kalman filter is that the underlying system is a linear dynamical system and that all error terms and measurements have a Gaussian distribution ( often a multivariate Gaussian distribution ).
Extensions and generalizations to the method have also been developed, such as the Extended Kalman Filter and the Unscented Kalman filter which work on nonlinear systems.
Stanley F. Schmidt is generally credited with developing the first implementation of a Kalman filter.
This Kalman filter was first described and partially developed in technical papers by Swerling ( 1958 ), Kalman ( 1960 ) and Kalman and Bucy ( 1961 ).

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