Tracking: B

In Chapter Tracking: A, we explained the estimation of a random variable based on observations. We also described the Kalman filter and we gave a number of examples. In this chapter, we derive the Kalman filter and explain some of its properties. We also discuss the extended Kalman filter.Section 10.1 explains how to update an estimate as one makes additional observations. Section 10.2 derives the Kalman filter. The properties of the Kalman filter are explained in Sect. 10.3. Section 10.4 shows how the Kalman filter is extended to nonlinear systems.