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Table 2 Summary of Kalman filter

From: 3D hand tracking using Kalman filter in depth space

Kalman filter

Control

Measurement

Update

x t = A t x t − 1 + B t u t + ε t

z t = C t x t + δ t

Mean

μ ̄ t = A t μ t - 1 + B t u t

μ t = μ ̄ t + K t ( z t - C t μ ̄ t )

Covariance

Σ ̄ t = A t Σ t - 1 A t T + R t

Σ t = ( I - K t C t ) Σ ̄ t

Kalman gain

-

K t = Σ ̄ t C t T ( C t Σ ̄ t C t T + Q t ) - 1