Estimating a constant state using the Kalman Filter

Kalman Filter example for estimating a constant value

This is an example of the Kalman Filter in discrete time. We Implement the Kalman Filter to estimate

x(k)=x(k+1)=0.12345

using

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

where

x: Constant state

z: Measurements

w: White noise with statistical properties w~N(0,0.01)

See the reference list for information on the Kalman filter, especially [1].

Lazaros Moysis

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