Discrete Time Kalman Filter

Version 1.0.2 (33.4 KB) by David
Pedagogical Derivation of the Kalman Filter
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Updated 18 Jan 2026

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Kalman filter view as model prediction with Bayesian update. Discussion of covariance update and congruence transformations

Cite As

David (2026). Discrete Time Kalman Filter (https://ch.mathworks.com/matlabcentral/fileexchange/182789-discrete-time-kalman-filter), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2025b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.2

Placeholder image update
1.0.1

Added Kalman Gain derivation
1.0.0