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An Introduction to the Kalman Filter - Computer Science

SIGGRAPH 2001 Course 8 An Introduction to the Kalman Filter Gary BishopUniversity of North Carolina at Chapel HillDepartment of Computer ScienceChapel Hill, NC 27599-3175 ~{welch, gb}Greg Welch{welch, Copyright 2001 by ACM, 2 Course 8 An Introduction to the Kalman Filter1 TABLE OF CONTENTS TABLE OF CONTENTS .. 1 Preface.. 3 Course Syllabus .. 4 1. Introduction .. 5 Course Description .. Speaker/Author Biographies.. 6 2. Probability and Random Variables .. 7 Probability.. Random Variables.. Mean and Variance .. Normal or Gaussian Distribution .. Continuous Independence and Cond. Probability.. Spatial vs. Spectral Signal Characteristics.}

The expected value of a random variable is also known as the first statistical moment. We can apply the notion of equation (2.8) or (2.9), letting , to obtain the th statistical moment. The th statistical moment of a continuous random variable is given by. (2.10) Of particular interest in general, and to us in particular, is the second moment ...

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