Deeper Understanding of Kalman Filter
State space modelKalman is a “optimal solution” of the state space model,
\mathbf{x}_t = \mathbf{F}_t \mathbf{x}_{t-1} + \mathbf{B}_{t}\mathbf{u}_{t
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Kalman Filter Summary
MARSS package1. observation equation:
\mathbf{y}_t = \mathbf{Z}_t \mathbf{x}_{t} + \mathbf{a}_t + \mathbf{D}_t \mathbf{d}_t + \mathbf{H}_t \mathbf{v
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