Discrete Time Kalman Filter

Pedagogical Derivation of the Kalman Filter

Version 31.0.9 (454 KB)
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13 Feb 2026

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Kalman filter view as model prediction with Bayesian update. Discussion of covariance update and congruence transformations

Cite As

David (2026). Discrete Time Kalman Filter (https://www.mathworks.com/matlabcentral/fileexchange/182789-discrete-time-kalman-filter), MATLAB Central File Exchange. Retrieved .

General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
31.0.9

Fix: remove confusing mention of standard for m at the end of the Joseph form section
31.0.8

feedback: Added note of symmetry/positive definiteness preservation of P
31.0.7

change confidence to credibility intervals to fit Bayesian perspective

31.0.6

document restructure
31.0.5

Add ricatti map visualisation
31.0.4

Added kalman smoothing numerical simulation
31.0.2

add conceptual note on observation step - link to conditioning Gaussian
1.0.2

Placeholder image update
1.0.1

Added Kalman Gain derivation
1.0.0