Data Smoothing using a Kalman Filter by Vince Banes
ARTICLE SYNOPSIS ...Data Smoothing using a Kalman Filter
by Vince Banes
""The analysis of continuous pricing information works well with
this form of filtering""
The concept of optimum estimation was introduced by Dr. R.E. Kalman in 1960. The first major
application of his theories was to reduce the noise found in the data of modern navigation systems. With
these theories, system designers were able to use knowledge about the noise in a system to filter out its
effects and to improve system performance without additional hardware. This led engineers to apply his
principles to many different problems. These same...