Kalman filter

From Ioannis Kourouklides
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This page contains resources about Kalman filters and Linear Gaussian State Space Model.

Subfields and Concepts

Online Courses

Video Lectures


Lecture Notes

Books and Book Chapters

  • Murphy, K. P. (2012). "Chapter 18: State space models". Machine Learning: A Probabilistic Perspective. MIT Press.
  • Koller, D., & Friedman, N. (2009). "Section 6.2.3.2: 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.

Software

See also

Other resources