{"doi":"10.1115/1.3662552","title":"A New Approach to Linear Filtering and Prediction Problems","abstract":"<jats:p>The classical filtering and prediction problem is re-examined using the Bode-Shannon representation of random processes and the “state-transition” method of analysis of dynamic systems. New results are: (1) The formulation and methods of solution of the problem apply without modification to stationary and nonstationary statistics and to growing-memory and infinite-memory filters. (2) A nonlinear difference (or differential) equation is derived for the covariance matrix of the optimal estimation error. From the solution of this equation the co-efficients of the difference (or differential) equation of the optimal linear filter are obtained without further calculations. (3) The filtering problem is shown to be the dual of the noise-free regulator problem. The new method developed here is applied to two well-known problems, confirming and extending earlier results. The discussion is largely self-contained and proceeds from first principles; basic concepts of the theory of random processes are reviewed in the Appendix.</jats:p>","journal":"Journal of Basic Engineering","year":1960,"id":12164,"datarank":31.188185521529686,"base_score":10.333742829451511,"endowment":10.333742829451511,"self_citation_contribution":1.5500614244177269,"citation_network_contribution":29.63812409711196,"self_endowment_contribution":1.5500614244177269,"citer_contribution":29.63812409711196,"corpus_percentile":99.7,"corpus_rank":210,"citation_count":30752,"citer_count":198,"citers_with_citation_signal":198,"citers_with_endowment":198,"datacite_reuse_total":0,"is_dataset":false,"is_oa":false,"file_count":0,"downloads":0,"has_version_chain":false,"published_date":"1960-03-01","authors":[{"id":96470,"name":"R. E. Kalman","orcid":null,"position":0,"is_corresponding":true}],"reference_count":19,"raw_metadata":{"citation_network_status":"fetched"},"created_at":"2026-03-01T18:20:47.508186Z","pmid":null,"pmcid":null,"fwci":null,"citation_percentile":null,"influential_citations":0,"oa_status":null,"license":null,"views":0,"total_file_size_bytes":0,"version_count":0,"clinical_trials":[],"software_tools":[],"db_accessions":[],"linked_datasets":[],"topics":[]}