Standard Article

Kalman Filter

  1. G. J. Janacek

Published Online: 15 JUL 2005

DOI: 10.1002/0470011815.b2a12033

Encyclopedia of Biostatistics

Encyclopedia of Biostatistics

How to Cite

Janacek, G. J. 2005. Kalman Filter. Encyclopedia of Biostatistics. 4.

Author Information

  1. University of East Anglia, UK

Publication History

  1. Published Online: 15 JUL 2005


The Kalman filter is a recursive algorithm to provide estimates of parameters in state-space models of time series. Observations are linearly related to unobserved state-space variables following an autoregressive model. Recursive algorithms enable prediction and updating of estimates of state-space parameters with likelihood estimation. A simple example is provided.


  • time series;
  • state-space models;
  • structural equation models;
  • ARIMA models