9Kalman Filtering and Prediction
9.1 Introduction
In the first part of this book, we have treated the prediction problem for stationary processes as the problem of estimating the future value of a signal 
from the observation of its past snapshots. In other words, given the observations 
of 
, one is willing to find 
where 
. We now address a more general problem arising when the unknown variable 
may be different from the observed variable 
The estimation of 
is performed by taking advantage of the information on it hidden in 
through the relationship linking to , as expressed by a mathematical ...
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