Probability & Statistics of Noisy Signals for Kalman Filters, Guidance Fundamentals II, Section 1.2

Published: 10 February 2024
on channel: Ben Dickinson
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In this lesson, we develop fundamental probability and statistical concepts for working with noisy signals in stochastic control and Kalman filter design. Topics include: noisy signal characterization, sample space, mean, expected value, variance, stationary processes, covariance, the covariance matrix, the joint moment matrix, the autocorrelation matrix, uniform distributions, and gaussian distributions.

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