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The common filter is built upon a number of fundamental concepts.

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Now, while this course assumes a working knowledge of these areas, we will very quickly cover the

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basics as a quick review.

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After each quick review of the topics, there will be a quiz to see if you have the concepts handled.

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If you need additional help understanding the concepts further, please look into the additional internal

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and external cost resources.

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So the topics we're going to cover, basic probability, probability, density functions and we're going

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to be looking at Gaussian distributions.

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In particular, we will look at multivariate distributions, linear transforms or probability distributions,

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differential equations, states based representations, continuous and discrete time models and different

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types of mathematical models of dynamic systems and then estimation as a probability problem.