1 Linear systems theory 3
2 Probability theory 49
3 Least squares estimation 79
4 Propagation of states and covariances 107
5 The discrete-time Kalman filter 123
6 Alternate Kalman filter formulations 149
7 Kalman filter generalizations 183
8 The continuous-time Kalman filter 229
9 Optimal smoothing 263
10 Additional topics in Kalman filtering 297
11 The H[subscript [infinity]] filter 333
12 Additional topics in H[subscript [infinity]] filtering 373
13 Nonlinear Kalman filtering 395
14 The unscented Kalman filter 433
15 The particle filter 461
App. A Historical perspectives 485
App. B Other books on Kalman filtering 489
App. C State estimation and the meaning of life 493