Discrete Kalman Filters In 1960, Kalman published his famous paper on a recursive solution to the problem of linear filtering of discrete data [Kalman60]. Since then, thanks to advances in digital computing, the Kalman filter has become the subject of extensive research and application, especially in the field of autonomous or assisted navigation. A very \"friendly\" introduction is given in the first chapter of [Maybeck79], and a more comprehensive discussion can be found in [Sorenson70], which also contains some very interesting historical stories. More extensive references include [Gelb74, Grewal93, Maybeck79, Lewis86, Brown92, Jacobs93]. The process signal to be estimated The Kalman filter is used to estimate the state variable x2
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