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[1] See, for example, page 93 of [[Bis06]](../zreferences.html#bishop2006). To get from his expressions to the ones used above, you will also need to apply the [Woodbury matrix identity](https://en.wikipedia.org/wiki/Woodbury_matrix_identity)." ] } ], "metadata": { "date": 1591310628.2812724, "download_nb": 1, "download_nb_path": "https://julia.quantecon.org/", "filename": "kalman.rst", "filename_with_path": "tools_and_techniques/kalman", "kernelspec": { "display_name": "Julia 1.4.2", "language": "julia", "name": "julia-1.4" }, "language_info": { "file_extension": ".jl", "mimetype": "application/julia", "name": "julia", "version": "1.4.2" }, "title": "A First Look at the Kalman Filter" }, "nbformat": 4, "nbformat_minor": 2 }