Kalman Filter

A friend of mine who’s studying econometrics asked me about the Kalman filter, which is used in estimating the parameters of a time series model. I didn’t know anything about the subject, so I was poking around online, where I discovered that the Kalman filter is rocket science: it was invented to estimate the current position and trajectory of the Apollo spacecraft. And here I thought the only concrete result of the space program was Tang.

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