Kalman Filter

Abstract: The Kalman filter is a Recursive algorithm and recursive means doesn�t need to store all previous measurements and reprocess all data each time step.The Kalman filter is the best possible (optimal) estimator for a large class of problems and a very effective and useful estimator for an even larger class. With a few conceptual tools, the Kalman filter is actually very easy to use.

Keywords: Kalman filter, Measurement, Prediction.