Wednesday 14 March 2012

Kalman Filter - Youtube Video Tutorial

In my travels around the internet as part of research on the Kalman filter I have found this youtube tutorial which, although quite chatty, is a good introduction and as an added bonus the MATLAB/Octave code is also supplied. A typical plot of this code is:
  •  cyan is the noisy measurement
  • red is the underlying trajectory (hardly discernible as it lies under the plot of the filter)
  • green is the Kalman filter output
I'd say that's pretty impressive filtering!

P.S. more introductory sites here, here and here; some MATLAB code here, here and here. Closely related to Kalman filters are particle filters (R package info. here and here.)

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