Kalman Filtering And Smoothing. Jayashri. Outline . Introduction State Space Model Parameterization Inference Filtering Smoothing. Introduction. Two Categories of Latent variable Models Discrete Latent variable -> Mixture Models Continuous Latent Variable-> Factor Analysis Models
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Applications of Kalman filter are endless!
Transition From one node to another:
Problem is to calculate the mean vector and Covariance matrix.
Time Update step:
Using the equations 13.26 and 13.27
Summary of the update equations
The update equation can be written as,
Update equation becomes,
Conversion of moment parameters to canonical parameters:
… Eqn. 13.5
Canonical parameters of the distribution of
Summary of update equations:
Last issue is to fuse the two filter estimates.