... ^ x0 ¼ E½x0 ; 1:2 9Þ 10 KALMAN FILTERS Table 1.1 Summary of the Kalman filter State-space model xkþ1 ¼ Fkþ1;k xk þ wk ; yk ¼ Hk xk þ vk ; where wk and vk are independent, zero-mean, Gaussian ... system described by the state-space model xkþ1 ¼ fðk; xk Þ þ wk ; 1:5 2Þ yk ¼ hðk; xk Þ þ vk ; 1:5 3Þ 18 KALMAN FILTERS where, as before, wk and vk are independent zero-mean white Gaussian noise ... Wiley, 1986 [3] M.S Grewal and A.P Andrews, Kalman Filtering: Theory and Practice Englewood Cliffs, NJ: Prentice-Hall, 1993 [4] H.L Van Trees, Detection, Estimation, and Modulation Theory, Part...