This page contains resources about Kalman filters and Linear Gaussian State Space Model.
Subfields and Concepts Edit
- Bayesian Recursive Estimation / Bayes filter (generalization of the Kalman filter)
- Extended Kalman filter (EKF)
- Unscented Kalman filter (UKF)
- Iterated EKF
- Information filter
Book and Book Chapters Edit
- Murphy, K. P. (2012). "Chapter 18: State space models". Machine Learning: A Probabilistic Perspective. MIT Press.
- Koller, D., & Friedman, N. (2009). "Section 188.8.131.52: Linear Dynamical Systems". Probabilistic Graphical Models. MIT Press.
- Bishop, C. M. (2006). "Chapter 13: Sequential Data". Pattern Recognition and Machine Learning. Springer.
- Grover, R., & Hwang, P. Y. (1996). Introduction to random signals and applied Kalman filtering. 3rd Ed. John Wiley & Sons.