In this updated edition the main thrust is on applied Kalman
filtering. Chapters 1-3 provide a minimal background in random
process theory and the response of linear systems to random inputs.
The following chapter is devoted to Wiener filtering and the
remainder of the text deals with various facets of Kalman filtering
with emphasis on applications. Starred problems at the end of each
chapter are computer exercises. The authors believe that
programming the equations and analyzing the results of specific
examples is the best way to obtain the insight that is essential in
engineering work.
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