The University of Montana
Department of Mathematical Sciences
Technical report #32/2008
A Matrix Theoretic Derivation of the Kalman Filter
University of Montana
AbstractWe present a matrix theoretic derivation of the Kalman filter—motivated by the statistical technique of minimum variance estimation—in order to make its theoretical underpinnings accessible to a broader audience. Standard derivations of the filter utilize probabilistic arguments that are less familiar to the matrix analyst and computational mathematician.
AMS Subject Classification: 15A99, 65C60
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