Kalman filtering: with real-time applications. (Q1188992)

[For a review of the first edition (1987) see Zbl 0636.93070.] In addition to making a number of minor corrections and updating the references, we have expanded the section on ``real-time system identification'' in Chapter 10 of the first edition into two sections and combined it with Chapter 8. In its place, a very brief introduction to wavelet analysis is included in Chapter 10. Although the pyramid algorithms for wavelet decompositions and reconstructions are quite different from the Kalman filtering algorithms, they can also be applied to time-domain filtering, and it is hoped that splines and wavelets can be incorporated with Kalman filtering in the near future.