Recursive Bayesian Estimation - Sequential Bayesian Filtering

Sequential Bayesian Filtering

Sequential Bayesian filtering is the extension of the Bayesian estimation for the case when the observed value changes in time. It is a method to estimate the real value of an observed variable that evolves in time.

The method is named:

filtering

when we estimate the current value given past observations,

smoothing

when estimating past values given present and past measures, and

prediction

when estimating a probable future value.

The notion of Sequential Bayesian filtering is extensively used in control and robotics.