Offers tutorials, resources, and hands-on lessons on Kalman filters, sensor fusion, and advanced estimation techniques, unscented and cubature kalman filters.| Kalman filter for professionals
The Unscented Kalman Filter (UKF) is the most known representative of the sigma-point methods derived by Julier and Uhlmann.| Kalman filter for professionals
A desired property of a state estimator is that it is able to indicate the quality of the estimate correctly. This is called consistency of a state estimator.| Kalman filter for professionals
A Kalman filter is a powerful algorithm used in statistics and control theory for estimating the state of a system from a series of noisy measurements.| Kalman filter for professionals
Discover how to enhance pairs trading or statistical arbitrage strategies using the Kalman filter to estimate the spread of co-integrated instruments.| Kalman filter for professionals
The root mean square error (RMSE), which is a widely used quality measure, is suitable to evaluate the performance of state estimators.| Kalman filter for professionals
The Normalized Innovation Squared (NIS) metric allows to check whether the Kalman filter is consistent with the residual and the innovation covariance matrix.| Kalman filter for professionals