Posted by James Hall on January 13, 2008 at 12:23pm
For those of us who lead a professional life devoted to business development after college, could someone run down the steps that are required to apply a Kalman filter to a collection of data? A pbasic example would help.
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Replies
Here is a web page of mine that outlines 'state' estimation using a Kalman filter: http://www.canova-engineering.com/Canvkalm.htm
Kalman filters can also be used to combine data from multiple sensors to provide a 'best 'estimate of the parameter that is being measured.
Here is link to a paper describing the algorithm: www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf
I hope that helps - I'll be happy to try to answer any question that you may have.
James C.