A Kalman filter

Example · Undergraduate

Definition: Kalman filter

Terms

Term	This example	Why
observer	✓	A Kalman filter is an observer, because it uses a time-varying gain chosen to minimize the mean-square error.
estimator	✓	A Kalman filter is an estimator, because it estimates the state from noisy measurements.
filter (estimation)	✓	A Kalman filter is a filter, because it estimates the current state from the measurements up to the current time.
predictor	✗	A Kalman filter is not a predictor, because it estimates the present state, not a future one.

Distinctions using this example

• Types of estimators

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