Revisiting linear filtering, the Bayesian paradigm & optimal state estimation

This folder contains the python code that goes along with the article in this link. KFTutorial.ipynb is a jupyter-notebook to simulate 4 problems:

1. Least-squares fit/estimation of a time-series data
2. Recursive least-square estimator
3. A simple 1-dimensional stochastic differential equation
4. Using Kalman-Bucy filter to estimate the position of a Brownian particle in a harmonic potential

The folder also contains the LaTeX-sources files and figures of the article.

This work was done in collaboration with Vishaal Krishnan.