Dynamic state model
Kalman filtering
Article REF: R1107 V1
Dynamic state model
Kalman filtering

Author : Yves DELIGNON

Publication date: December 10, 2009 | Lire en français

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2. Dynamic state model

Let y 0 ,... y n , be the observations up to time n of a system, where y n can be scalars or vectors. Each observation y n depends on a quantity x n that defines the state of the system at time n. x n is scalar or vector in nature and is related to observation y n by a relationship of the type :

yn=An(xn,vn)
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