Chapter utorial: The Kalman Filter
ariable within a pro cess of the form; x k +1 = + w (11.10) where; x k is the state v ector of the pro cess at time k, (nx1); 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 noise pro cess with kno wn co v ariance, (nx1). Observ ...
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