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Understanding the basis of the Kalman filter via a simple and intuitive derivation

by: R. Faragher
Signal Processing Magazine, IEEE, Vol. 29, No. 5. (2012), pp. 128-132, doi:10.1109/msp.2012.2203621  Key: citeulike:11144722

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Abstract

This article provides a simple and intuitive derivation of the Kalman filter, with the aim of teaching this useful tool to students from disciplines that do not require a strong mathematical background. The most complicated level of mathematics required to understand this derivation is the ability to multiply two Gaussian functions together and reduce the result to a compact form.


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