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PreprintCC BY 4.0arXiv

A simple derivation of the Kalman filter

  • Marco Chiani
  • Giovanni Petris
  • Moe Z. Win
Open at sourcePDFDOICite

Abstract

In this lecture note, we present a concise and self-contained derivation of the discrete-time Kalman filter equations that requires only a basic understanding of least squares estimation. The treatment is designed to minimize mathematical overhead while preserving both rigor and generality.

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Cite

BibTeXRIS
BibTeX
@misc{chiani2026simple,
  title = {{A simple derivation of the Kalman filter}},
  author = {Marco Chiani and Giovanni Petris and Moe Z. Win},
  howpublished = {arXiv},
  year = {2026},
  month = sep,
  doi = {10.48550/arxiv.2609.02332},
  eprint = {2609.02332},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2609.02332},
  note = {CC BY 4.0},
}
RIS
TY  - UNPB
TI  - A simple derivation of the Kalman filter
AU  - Marco Chiani
AU  - Giovanni Petris
AU  - Moe Z. Win
PY  - 2026
DA  - 2026/09/02
PB  - arXiv
DO  - 10.48550/arxiv.2609.02332
UR  - https://arxiv.org/abs/2609.02332
AB  - In this lecture note, we present a concise and self-contained derivation of the discrete-time Kalman filter equations that requires only a basic understanding of least squares estimation. The treatment is designed to minimize mathematical overhead while preserving both rigor and generality.
ER  -