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The Kalman filter is an algorithm for estimating the mean vector and variance-covariance matrix of the unknown state in a state space model.

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How can I use Kalman Filter formulation for inferring the probability of system failure?

I want to use the Kalman filter to sense the state of a machine. The machine could be either working or damaged. I'm trying to infer the probability of the machine working, given observations from mul …
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Can you create Kalman filter (or a recurssive state estimator) with Beta and Binomial distri...

I have to infer the probability of a system failing from observations. Since probabilities are bounded between 0 and 1, they are sometimes modeled using Beta distribution. While the traditional Kalman …
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  • 145