3. Random Processes and Stochastic Systems

  1. Mohinder S. Grewal1 and
  2. Angus P. Andrews2

Published Online: 29 JAN 2008

DOI: 10.1002/9780470377819.ch3

Kalman Filtering, Third Edition, Third Edition

Kalman Filtering, Third Edition, Third Edition

How to Cite

Grewal, M. S. and Andrews, A. P. (2008) Random Processes and Stochastic Systems, in Kalman Filtering, Third Edition, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470377819.ch3

Author Information

  1. 1

    California State University at Fullerton, USA

  2. 2

    Rockwell Science Center, USA

Publication History

  1. Published Online: 29 JAN 2008
  2. Published Print: 25 AUG 2008

ISBN Information

Print ISBN: 9780470173664

Online ISBN: 9780470377819

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Keywords:

  • random processes (RPs) and stochastic systems;
  • linear RP models;
  • orthogonality principle

Summary

This chapter contains sections titled:

  • Chapter Focus

  • Probability and Random Variables (RVs)

  • Statistical Properties of RVs

  • Statistical Properties of Random Processes (RPs)

  • Linear RP Models

  • Shaping Filters and State Augmentation

  • Mean and Covariance Propagation

  • Relationships Between Model Parameters

  • Orthogonality Principle

  • Summary

  • Problems