1.NTRODUCTION2. FILTERING, LINEAR SYSTEMS,AND ESTIMATION3. THE DISCRETE-TIME KALMAN FILTER4. TIME-INVARIANT FILTERS5. KALMAN FILTER PROPERTIES6. COMPUTATIONAL ASPECTS7. SMOOTHING OF DISCRETE-TIME SIGNALS8. APPLICATIONS IN NONLINEAR FILTERING9. INNOVATIONS REPRESENTATIONS,SPECTRAL FACTORIZATION,WIENER AND LEVINSON FILTERING10. PARAMETER IDENTIFICATIONAND ADAPTIVE ESTIMATION11. COLORED NOISE AND SUBOPTIMALREDUCED ORDER FILTERSAppendix A: BRIEF REVIEW OF RESULTSOF PROBABILITY THEORYB: BRIEF REVIEW OF SOME RESULTSOF MATRIX THEORYC: BRIEF REVIEW OF SEVERAL MAJOR RESULTSOF LINEAR SYSTEM THEORYD: LYAPUNOV STABILITY
