The common filter is built upon a number of fundamental concepts.
Now, while this course assumes a working knowledge of these areas, we will very quickly cover the
basics as a quick review.
After each quick review of the topics, there will be a quiz to see if you have the concepts handled.
If you need additional help understanding the concepts further, please look into the additional internal
and external cost resources.
So the topics we're going to cover, basic probability, probability, density functions and we're going
to be looking at Gaussian distributions.
In particular, we will look at multivariate distributions, linear transforms or probability distributions,
differential equations, states based representations, continuous and discrete time models and different
types of mathematical models of dynamic systems and then estimation as a probability problem.