We present a matrix theoretic derivation of the Kalman filter—motivated by\rthe statistical technique of minimum variance estimation—in order to make its\rtheoretical underpinnings accessible to a broader audience. Standard derivations\rof the filter utilize probabilistic arguments that are less familiar to the matrix\ranalyst and computational mathematician.\r
CITATION STYLE
Bardsley, J. M. (2019). A Matrix Theoretic Derivation of the Kalman Filter (pp. 505–513). https://doi.org/10.1007/978-3-030-04161-8_44
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