Kalman filtering is certainly one of the great discoveries in the history of statistical estimation theory, and possibly the greatest discovery in the twentieth century. This book is well suited to such a subject. Even if you are interested in the theoretical aspects or in the implementation details, you can find all you need here. Also, a lot of interesting historical and biographical notes complete the text.

The book is organized for use as a text for an introductory course in stochastic processes at the fourth-year level or in a first-year graduate course in Kalman filtering theory and application. It could also be used for self-instruction or review by practicing engineers and scientists who are not familiar with the subject.

After an informal introduction to the general subject in chapter 1, chapters 2 and 3 and Appendix B cover the essential background material on linear systems, probability, stochastic processes, and modeling. Chapter 4 covers linear optimal filters, predictors, and smoothers, with detailed examples of applications. Chapter 5 is devoted to nonlinear estimation by extended Kalman filters, and chapter 6 covers the more modern implementation techniques, with algorithms provided for complete implementation. Finally, chapter 7 deals with more practical matters of implementation and use beyond the numerical methods of chapter 6. Ten to 20 adequate exercises appear at the end of each chapter. The preface states that a solution manual is available.

The 233 references are good. To help the reader, they are organized by topic (such as “Kalman Filtering and its Application” and “Numerical Methods”) and according to whether they are books, theses and reports, or journal and conference papers. After the bibliography, two useful and consistent indexes are provided: an author index and a subject index.

The enclosed 3.5-inch DOS diskette contains software packages to demonstrate the working of the filter algorithms. As usual in engineering programming, everything is written in FORTRAN. The quality of the source code is obvious at first glance.

This book is a pleasant surprise for the reader. Not only the highly elaborate content but the aesthetic aspect and the typographical quality are remarkable.