Abstract
We present a geometric explanation of Kalman filters in terms of a symplectic linear space and a special quadratic form on it. It is an extension of the work of Bougerol with application of a different metric we have introduced earlier. The new results are contained in Theorem 1 and Theorem 4.
Citation
Marciej P. Wojtkowski. "Geometry of Kalman Filters." J. Geom. Symmetry Phys. 9 83 - 95, 2007. https://doi.org/10.7546/jgsp-9-2007-83-95
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