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One thing the textbooks and explainers never seem to think to do is start with the one-dimensional case. All the confronting looking matrix equations reduce to
by carrolldunham 6y ago
One thing the textbooks and explainers never seem to think to do is start with the one-dimensional case. All the confronting looking matrix equations reduce to an intuitive, even obvious set of arithmetic operations.
- em500 6y agoIndeed. The simplest one-dimensional case of the Kalman filter is just exponential smoothing, which you can implement and tweak in a spreadsheet. Unfortunately the leap to the general multivariate case is still pretty big.