Brown, Hwang:

Introduction to Random Signals and Applied Kalman Filtering with Matlab Exercises, 4th Edition

Instructor Companion Site

Table Of Contents

Chapter 1: Probability and Random Variables: A Review

Chapter 2: Mathematical Description of Random Signals

Chapter 3: Linear Systems Response, State-space Modeling and Monte Carlo Simulation

Chapter 4: Discrete Kalman Filter Basics

Chapter 5: Intermediate Topics on Kalman Filtering

Chapter 6: Smoothing and Further Intermediate Topics

Chapter 7: Linearization, Nonlinear Filtering and Sampling Bayesian Filters

Chapter 8: the "Go-Free" Concept, Complementary Filter and Aided Inertial Examples

Chapter 9: Kalman Filter Applications to the GPS and Other Navigation Systems

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