4 ms·
The KF update is just computing the Bayesian posterior of a markov chain (with certain constraints). p(state|data) = p(data|state) P(state) / p(data).
by RogerL 6y ago
The KF update is just computing the Bayesian posterior of a markov chain (with certain constraints). p(state|data) = p(data|state) P(state) / p(data).