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Use of optimal estimation theory, in particular the Kalman filter, in data analysis and signal processing

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1 Author(s)
Cooper, William S. ; Lawrence Berkeley Laboratory, University of California, Berkeley, California 94720

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The Kalman filter, a powerful and useful optimal estimation technique, does not seem to be widely known among physicists. Here we outline the derivation of the algorithm, and give three examples of its use: (a) in estimating the value of a constant, with both system and measurement noise, (b) in numerical differentiation of noisy data, and (c) in optimally estimating the amplitude of a signal with arbitrary but known time dependence superimposed on a noisy background.

Published in:

Review of Scientific Instruments  (Volume:57 ,  Issue: 11 )

Date of Publication:

Nov 1986

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