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Comment by joeyo

Max Welling's Kalman Filter tutorial [1] derives the smoother equations using pretty clear and easy to follow notation (and is a great resource generally).

Briefly: you first run the filter equations "forwards", processing each datapoint sequentially from start to end. Then you run the smoother "backwards" in time on the same data going from end to start.

1. http://www.stat.columbia.edu/~liam/teaching/neurostat-spr12/...

parent joeyo 3 years ago

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