Understanding the Kalman Filter

Understanding the Kalman Filter. Meinhold, R. J. & Singpurwalla, N. D. The American Statistician, 37:123–127, 1983.

This is an expository article. Here we show how the successfully used Kalman filter, popular with control engineers and other scientists, can be easily understood by statisticians if we use a Bayesian formulation and some well-known results in multivariate statistics. We also give a simple example illustrating the use of the Kalman filter for quality control work.

@article{meinhold_understanding_1983,
	title = {Understanding the {Kalman} {Filter}},
	volume = {37},
	issn = {00031305},
	url = {http://www.jstor.org/stable/2685871},
	abstract = {This is an expository article. Here we show how the successfully used Kalman filter, popular with control engineers and other scientists, can be easily understood by statisticians if we use a Bayesian formulation and some well-known results in multivariate statistics. We also give a simple example illustrating the use of the Kalman filter for quality control work.},
	urldate = {2008-11-17},
	journal = {The American Statistician},
	author = {Meinhold, R. J. and Singpurwalla, N. D.},
	year = {1983},
	keywords = {kalman},
	pages = {123--127}
}

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