Introduction to Kalman Filter

Kalman Filter, also known as Linear Quadratic Estimation (LQE) is the algorithm that uses series of measurements that are observed over time and that contains statistical noise and other inaccuracies that are found in the given system. It produces the estimation of unknown variables that tend to be more precise that are based on single measurement that are taken from the study. They are estimated using Bayesian inference and joint probability distribution over variables for each timeframe that is considered in the field.