AI engineering glossary · Time series recsys
What is kalman filter?
Kalman filter: A recursive algorithm that estimates the hidden state of a linear system with Gaussian noise by combining a prediction with each new noisy measurement, weighted by their uncertainties. It is used in tracking, navigation and forecasting.
Kalman filter: an example
A phone estimates its position by mixing GPS readings (noisy) with a motion model (smooth).
Related terms
More Time series recsys terms
- KPSS test
- LambdaMART
- Latent factors
- Learning to rank
- Listwise ranking
- Ljung-Box test
- Long tail
- Moving average
Where you learn it
Kalman filter is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.