kalman filter

discrete time, linear, dynamic, state space, vector difference equation

State: smallest vector to summarize the past of the system.

Prediction: in the absence of the noise.

State equation:

$$x(k+1) = F(k) x(k) +G(k)u(k) + v(k)$$ 

$x(k)$ is the$n_x$ dimensional state vector

$v(k)$is the white noise with covariance $Q(k)$

Measurement equation:

$$z(k) = x(k) + w(k)$$

$w(k)$ is the white noise with covariance $R(k)$