Introduction to Random Signals and Applied Kalman Filtering

Probability and Random Variables; Mathematical Description of Random Signals; Response of Linear Systems to Random Inputs; Wiener Filtering; The Discrete Kalman Filter; Applications and Additional Topics on Discrete Kalman Filtering; The Continuous Kalman Filter; Discrete Smoothing and Prediction; Linearization and Additional Topics on Applied Kalman Filtering; The Global Positioning System: A Case Study.