Chapter 6
The Linear Class of Kalman Filters
The recursive linear Kalman filter (LKF) was first introduced by Kalman [1, 2], with the books [3–5] offering a more in depth discussion of the method with application examples. Newer editions or reprints of the original books are still available. For many estimation problems, either the dynamic or observation equations are linear and in many situations both are linear. Therefore, we will treat the linear dynamic or observation equation cases separately and then combine them into the linear Kalman filter.
