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From:
thesearesystems.substack.com
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Voiding the warranty: how the Kalman filter updates on data
https://thesearesystems.substack.com/p/voiding-the-warranty-how-the-kalman
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In which we explore how the Kalman filter approximates Bayesian probability in its update process, and then push it beyond its limits as we tackle the "pathological" case of Cauchy-distributed noise via the lighthouse problem.
