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BAYESIAN FILTERING AND SMOOTHING - Aalto

This PDF version is made available for personal use. The copyright in all material rests with the author (Simo S arkk a). Commercialreproduction is prohibited, except as authorised by the author and FILTERING ANDSMOOTHINGSimo S arkk aBayesian FILTERING and Smoothinghas beenpublished by Cambridge University Press, asvolume 3 in the IMS Textbooks series. It can bepurchased directly from Cambridge cite this book as:Simo S arkk a (2013). BAYESIAN FILTERING andSmoothing. Cambridge University PDF version is made available for personal use. The copyright in all material rests with the author (Simo S arkk a). Commercialreproduction is prohibited, except as authorised by the author and PDF version is made available for personal use.

The aim of this book is to give a concise introduction to non-linear Kalman filtering and smoothing, particle filtering and smoothing, and to the re-lated parameter estimation methods. Although the book is intended to be an introduction, the mathematical ideas behind all the methods are care-

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