Chapter utorial: The Kalman Filter
In suc h a case the MSE serv es to pro vide the v alue of ^ x k whic h maximises the lik eliho o d of the signal y k. In the follo wing deriv ation the optimal lter is de ned ... is the state transition matrix of the pro cess from the state at k to the state at + 1, and is assumed stationary o v er time, (nxm); w k is the asso ciated white ...
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