A Bayesian Approach To Kalman Filtering

There are both linear and non-linear forms of the Kalman filter, with the non-linear forms being the Extended Kalman Filter (EKF), the invariant Extended Kalman Filter, and the Unscented Kalman Filter (UKF). The non-linear versions of this algorithm represent the current “gold standard” in many application areas, including GPS and navigation.

Before jumping in the deep end of the pool, I decided to implement a simple example that shows the ideas and implementation of Kalman filtering, using a recursive Bayesian approach.

I need to understand this better and see if this could be used in climate simulations.

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