Kalman Filter

The Kalman filter is a set of mathematical equations that provides an efficient computational (recursive) means to estimate the state of a process, in a way that minimizes the mean of the squared error. The filter is very powerful in several aspects:

it supports estimations of past, present, and even future states, and it can do so even when the precise nature of the modeled system is unknown.

 

Referenced from

An Introduction to the Kalman Filter

Some tutorials, references, and research related to the Kalman filter