Over the holiday period I decided to refresh my knowledge of Kalman filters by watching the excellent video series here: Kalman Filter YouTube Lessons.
Here is a diagram to show the architecture of the Kalman Filter:
As a result, I have now added 1D and 2D Kalman filters to the SigLib DSP Library, which can be found here: https://github.com/Numerix-DSP/siglib.
In the comments here https://www.youtube.com/watch?v=Fuy73n6_bBc&list=PLX2gX-ftPVXU3oUFNATxGXY90AULiqnWT&index=27, Gergely Takács mentioned his excellent Matlab and Python examples that can be found here: https://github.com/gergelytakacs/planeKF. Inspired by Gergely I have added the same example to the SigLib DSP Library examples.
