A Kalman filter primer / R.L. Eubank.

Eubank (mathematics and statistics, Arizona State U.) offers a self-contained, concise rigorous derivation of all the basic Kalman filter recursions from first principles. He lays out the basic prediction problem for signal-plus-noise models, deriving the Gramm-Schmidt algorithm and Cholesky decompo...

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Bibliographic Details

Online Access:	Full Text (via Taylor & Francis)
Main Author:	Eubank, R. L. (Randy L.)
Format:	eBook
Language:	English
Published:	Boca Raton, Fla. : Chapman & Hall/CRC, 2006.
Series:	Statistics, textbooks and monographs ; v. 186.
Subjects:	Kalman filtering > Textbooks. Kalman filtering. Textbooks.