If we are hiring someone such as a carpenter or an auto mechanic, we always look for two things: what kind of tools they have and what they do when things go wrong. For many types of embedded systems, ...

This course introduces the Kalman filter as a method that can solve problems related to estimating the hidden internal state of a dynamic system. It develops the background theoretical topics in state ...

In this example, the log likelihood function of the SSM is computed using prediction error decomposition. The annual real GNP series, y t, can be decomposed as where ...

The use of Kalman filter methods for high-performance order tracking of noise and vibration signals was introduced in 1993. Based on experience with that original formulation, further work has ...