Monthly Archives: July 2010

Learning the Kalman Filter

Many people have heard of Kalman filtering, but regard the topic as mysterious. While it’s true that deriving the Kalman filter and proving mathematically that it is “optimal” under a variety of circumstances can be rather intense, applying the filter to a basic linear system is actually very easy. This Matlab file is intended to demonstrate that. Continue reading

Posted in Forecasting, Matlab | Tagged | 13 Comments