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Tutorial 3: Linear Dynamical Systems and the Kalman Filter

This tutorial covers how to infer a latent model when our states are continuous. Particular attention is paid to the Kalman filter and its mathematical foundation.

Topics covered in this lesson
  • Linear dynamical systems
  • Kalman Filtering
  • Fitting eye gaze data
  • Review on Gaussian joint, marginal, and conditional distributions
  • Kalman smoothing
  • The Expectation-Maximization (EM) Algorithm

Experience with Python Programming Language

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