The Kalman filter

Auteur:Pierre Gauthier

Table of Content    Click here to start            Return to Main Page

  • Kalman filter
  • Evolution of forecast error covariances
  • Example
  • Numerical form of a propagator
  • Analysis phase of the Kalman filter
  • Schematics of a Kalman filter cycle
  • Divergence of the Kalman filter
  • Model error
  • Extension to the nonlinear case: the extended Kalman filter
  • Example:
  • Numerical form of the propagator
  • Equations of the extended Kalman filter
  • Remarks on the extended Kalman filter

    •