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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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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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