10. Kalman Filtering

Petr Franek
28 July 2004

In recursive methods the construction of an estimate at time $ t$ is based on an estimate from the previous time and the observations available in the time $ t$. Exponential smoothing and Yule-Walker equations are examples of recursive algorithms but by defining a state-space model one can build a unifying theory of recursive methods with the Kalman filter as a general (linear) solution of filtering, smoothing and prediction problems.

All routines for Kalman filtering, which will be explained in the following, are part of the times library.