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Space-Time Kalman Filter

Spatial and Temporal Modeling and Analysis

  1. Noel Cressie1,
  2. Christopher K. Wikle2

Published Online: 15 SEP 2006

DOI: 10.1002/9780470057339.vas037

Encyclopedia of Environmetrics

Encyclopedia of Environmetrics

How to Cite

Cressie, N. and Wikle, C. K. 2006. Space-Time Kalman Filter. Encyclopedia of Environmetrics. 5.

Author Information

  1. 1

    Ohio State University, Columbus, OH, USA

  2. 2

    University of Missouri, MO, USA

Publication History

  1. Published Online: 15 SEP 2006

Abstract

The Kalman filter arose out of R.E. Kalman's interest in applying the concept of state vectors to the Wiener filtering problem. The success of this method was evident in early applications to trajectory estimation and control of spacecraft; it was so successful, in fact, that the Kalman filter quickly became an essential component of modern control systems theory and practice. This initial success led to the propagation of Kalman-filtering ideas to other scientific disciplines, within which the methodology was adapted to suit numerous state–space oriented problems. Kalman filtering (of spatial data) is still an active area of research in the atmospheric and oceanic sciences.