Use of optimal estimation theory, in particular the Kalman filter, in data analysis and signal processing

Journal Article · Fri Oct 31 23:00:00 EST 1986 · Rev. Sci. Instrum.; (United States)

DOI:https://doi.org/10.1063/1.1139005· OSTI ID:5139906

Cooper, W S

The Kalman filter, a powerful and useful optimal estimation technique, does not seem to be widely known among physicists. Here we outline the derivation of the algorithm, and give three examples of its use: (a) in estimating the value of a constant, with both system and measurement noise, (b) in numerical differentiation of noisy data, and (c) in optimally estimating the amplitude of a signal with arbitrary but known time dependence superimposed on a noisy background.

• Research Organization: Lawrence Berkeley Laboratory, University of California, Berkeley, California 94720
• OSTI ID: 5139906
• Journal Information: Rev. Sci. Instrum.; (United States), Journal Name: Rev. Sci. Instrum.; (United States) Vol. 57:11; ISSN RSINA
• Country of Publication: United States
• Language: English

Related Subjects

658000* -- Mathematical Physics-- (-1987)
71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
ALGORITHMS
DATA ANALYSIS
DATA PROCESSING
FILTERS
LAWRENCE BERKELEY LABORATORY
MATHEMATICAL LOGIC
NATIONAL ORGANIZATIONS
OPTIMIZATION
PROCESSING
SIGNALS
TIME DEPENDENCE
US AEC
US DOE
US ERDA
US ORGANIZATIONS