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The Kalman filter is an algorithm to eliminate noise from statistical observations. The inputs and outputs are dependent on what you are applying it to.

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When would a Kalman filter be used?

A Kalman filter is a linear quadratic equation which is used primarily in the guidance and navigation systems in our current vehicles. It has numerous other functions as well.


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To remove white noise using a Kalman filter in MATLAB, you can start by defining the state-space model of your system, where the state represents the true signal and the measurement includes noise. Implement the Kalman filter algorithm, initializing the state estimate and covariance. Use the kalman function or manually code the prediction and update steps to filter the noisy measurements. Finally, apply the filter to your noisy data to obtain a cleaner estimate of the original signal.


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