Lecture Notes for ECE5283
Kalman Filtering
Module 1: Probability and Random Variables
Module 2: Stochastic Processes
Module 3: Linear Systems with Stochastic Inputs
Module 4: The Wiener Filter
Module 5: The Discrete Kalman Filter
Module 6: Prediction, Applications, and More Basics
Module 7: The Continuous Kalman Filter
Module 8: Smoothing
Module 9: Linearization and Additional Topics
Updated: December 1, 2003
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