A Simple Derivation of Kalman Filter

In accordance with the theory of estimation of state vector (or otherwise – unobserved estimated under consideration, the signal) is an unbiased, have minimal residual and noise in the case, if just given the initial state and system parameters. In the Kalman filter tend to reduce the measured signal to the form, which he would have had to exit the ideal apparatus. However, in practice, is often enough to reduce the signal mean which he would have had to exit the apparatus with given characteristics in a controlled noise level. The proposed approach yields lower as a special case of Kalman filter.