Kalman Filter and Orthogonal Projections
A linear Kalman filter has a simple geometric interpretation in terms of vector projections.
This applet explorers the geometry behind a recursive estimation of a random variable x from two noisy measurements and .
Geometrically, we obtain the orthogonal projection of x onto followed by the orthogonal projection of the result on the plane spanned by and .
You can grab the picture with a mouse and move it around to have a better look.
See the attached text for details.
