A simple derivation of the Kalman filter

Marco Chiani; Giovanni Petris; Moe Z. Win

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arXiv · 2609.02332

A simple derivation of the Kalman filter

Marco Chiani·Giovanni Petris·Moe Z. Win

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Abstract

In this lecture note, we present a concise and self-contained derivation of the discrete-time Kalman filter equations that requires only a basic understanding of least squares estimation. The treatment is designed to minimize mathematical overhead while preserving both rigor and generality.

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Marco Chiani, Giovanni Petris, Moe Z. Win. 2026-09-02. A simple derivation of the Kalman filter. https://arxiv.org/abs/2609.02332

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