Variable | Explanation | Variable | Explanation |
| Gram right-hand-side vector |
| union of data kernels |
| Thomas right-hand-side vector at time, i |
| data kernel at time, i |
| Kalman right-hand-side vector at time, i |
| generalized inverse |
| Gram matrix |
| prior right-hand-side vector |
| |
| union of prior information |
| Thomas matrix at time, i |
| GLS right-hand-side vector |
| Kalman matrix at time, i |
| GLS matrix |
| Off-main-diagonal of Gram matrix | K | number of time steps |
| prior covariance of initial condition |
| union of states |
| covariance of data at time, i |
| state at time, i |
| union of prior covariances |
| initial condition |
| posterior covariance of state |
| GLS estimate of state |
| union of data covariances |
| Kalman estimate of state |
| prior covariance of source | M | length of state vector |
| union of data | N | number of data at time, i |
| data at time, i |
| data resolution matrix |
| dynamics matrix |
| model resolution matrix |
| second difference matrix |
| source at time, i |