A Step by Step Mathematical Derivation and Tutorial on Kalman Filters

2019/10/08 by Masnadi-Shirazi, Hamed, Masnadi-Shirazi, Alireza, Dastgheib, Mohammad-Amir · 1 citation
#FOS: Computer and information sciences #Other Statistics (stat.OT)

paper · doi:10.48550/arxiv.1910.03558

Abstract

We present a step by step mathematical derivation of the Kalman filter using two different approaches. First, we consider the orthogonal projection method by means of vector-space optimization. Second, we derive the Kalman filter using Bayesian optimal filtering. We provide detailed proofs for both methods and each equation is expanded in detail.

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• Bayesian spatiotemporal modeling of passenger trip assignment in metro networks

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