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Kalman Filter

A Kalman filter is a recursive filter processing algorithm which incorporates in a statistical way all the available information describing a system: system (statistical) model, description of the measurement errors and noise.

Kalman filters are often used in High Energy Physics to "fit a track", i.e. to determine the best estimate of the track parameters and corresponding covariance matrix at any point along its path using the hit points on the subsequent detector materials it traversed.

There are many variants of a Kalman filter.