References & Further Reading

References

R. E. Kalman, A New Approach to Linear Filtering and Prediction Problems, 1960
The original Kalman filter paper.
R. E. Kalman and R. S. Bucy, New Results in Linear Filtering and Prediction Theory, 1961
Continuous-time Kalman-Bucy filter.
B. D. O. Anderson and J. B. Moore, Optimal Filtering, Prentice Hall, 1979
The standard reference for the state-space approach to filtering.
T. Kailath, A. H. Sayed, and B. Hassibi, Linear Estimation, Prentice Hall, 2000
Unified innovations-geometric treatment of Wiener and Kalman filtering.
A. H. Jazwinski, Stochastic Processes and Filtering Theory, Academic Press, 1970
Foundational nonlinear filtering text.
S. J. Julier and J. K. Uhlmann, Unscented Filtering and Nonlinear Estimation, 2004
Definitive UKF reference.
E. A. Wan and R. van der Merwe, The Unscented Kalman Filter for Nonlinear Estimation, 2000
Introduces UKF for state-space estimation.
M. S. Arulampalam, S. Maskell, N. Gordon, and T. Clapp, A Tutorial on Particle Filters for Online Nonlinear/Non-Gaussian Bayesian Tracking, 2002
Standard tutorial on particle filtering.
D. Simon, Optimal State Estimation: Kalman, H-Infinity, and Nonlinear Approaches, Wiley, 2006
Accessible textbook treatment with worked examples.
S. Särkkä, Bayesian Filtering and Smoothing, Cambridge University Press, 2013
Modern unified Bayesian view of Kalman-family algorithms.
L. A. McGee and S. F. Schmidt, Discovery of the Kalman Filter as a Practical Tool for Aerospace and Industry, 1985
Historical account of the Apollo guidance application.
M. B. Khalilsarai, Y. Song, S. Haghighatshoar, G. Caire, Structured Channel Covariance Estimation from Limited Samples in Massive MIMO, 2020