TY - DATA T1 - Understanding the Kalman filter: an object oriented programming perspective PY - 2017/06/07 AU - Snyder, Ralph D. AU - Forbes, Catherine S. UR - https://bridges.monash.edu/articles/journal_contribution/Understanding_the_Kalman_filter_an_object_oriented_programming_perspective/5084578 DO - 10.4225/03/5937474e84095 L4 - https://ndownloader.figshare.com/files/8616799 KW - Forecasting KW - Time series analysis KW - monash:2278 KW - Dynamic linear statistical models KW - 1959.1/2278 KW - 1999 KW - Object oriented programming KW - Kalman filter N2 - The basic ideas underlying the Kalman filter are outlined in this paper without direct recourse to the complex formulae normally associated with this method. The novel feature of the paper is its reliance on a new algebraic system based on the first two moments of the multivariate normal distribution. The resulting framework lends itself to an object-oriented implementation on computing machines and so many of the ideas are presented in these terms. The paper provides yet another perspective of Kalman filtering, one that many should find relatively easy to understand. ER -