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Q: Example 2 of Kalman's original article "A New Approach to Linear Filtering and Prediction Problems"
I am trying to understand Example 2 in the original article of Kalman. I would like to use the notion of Theorem 2.5 in my lecture notes to determine the Kalman equations. Moreover, the example shows up as exercise in the same lecture notes. Let me repeat the problem: $x_1$ is supposed to be the ...