Abstract: The previous chapter took us from the idea of recursive estimation to the Kalman filter. This chapter contains several extensions of the Kalman filter. It begins with a discussion of the innovations, which are the estimation error for predicting the measurements. The innovations can be viewed as the “new information” about x(n) that is conveyed by z(n) and have a number of interesting and useful properties. An alternate derivation, based on the innovations, of the Kalman filter follows.
Publication Year: 1999
Publication Date: 1999-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
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