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Hi Everyone,

I am about to implement a Kalman Filter in a software.

I found this very helpful article here:

http://bilgin.esme.org/BitsBytes/KalmanFilterforDummies.aspx

The example helps a lot, but in my case I have measurement data and that data tracks an object (if available) so I do not expect the same measurement data each time I take a measurement.

So my measurement data is not constant, it changes depending if a trackable object appears.

In the article above we have the constant called A, and in my case I guess it should be calculated somehow... But I am not sure how...

Any help would be really great!

Thanks a lot!

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1 Answer

This book describes such models at extreme length and with almost all possible variations.

Edit: This an excellent additional reference that is more empirical in nature.

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Thank you for your Link! I was hoping that I don't have to read a whole book to implement that filter... I know its complex but I was hoping that someone could give a good hint...? Any other suggestions, please? Thanks! –  user27298 Oct 17 '12 at 8:36
    
The problem is that your question is too broad. It would take several pages to reasonably explain how to deal with your problem. However, the setting in that book is exactly what you are looking for. If you fully understand chapter 4 at a reasonable level, you would realize that it would constitute an excellent investment and you would only need to leaf through the rest of the book to find out the particular variation you are looking for. In your case, reading section 6.2 would give a direct solution to your problem. –  an12 Oct 17 '12 at 10:58
    
Also, most of the stuff are reasonably well implemented and very well understood. I will add a reference to my answer that could give you a hand on experience with the material in the previous book (but from a slightly different inferential perspective). –  an12 Oct 17 '12 at 11:02
    
Thanks a lot! I'm not a mathematician, but maybe my Engineering Skills will be enough to understand that field. I'll have a closer look at the books you recommended. Thanks again! I really appreciate your help. –  user27298 Oct 17 '12 at 14:52
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