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I don't have much knowledge of Kalman filters, but the Wikipedia article[1] claims the assumption of Gaussian error is a common misconception. A quick skim of the original paper[2] seems to confirm this.

[1] http://en.wikipedia.org/wiki/Kalman_filter

[2] http://www.cs.unc.edu/~welch/kalman/media/pdf/Kalman1960.pdf

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I didn't know that -- that's very interesting! Thank you for showing me that.

I learned about Kalman filters in a mobile robotics course that made explicit Gaussian assumptions early on for the primary topic (SqrtSAM), and they brought up Kalman filters in its own lecture as kind of a "this is how they used to do SLAM" lecture. Considering the large amount of overlap in the methods, such as the use of linear covariance projections, I guess I made the assumption that Kalman filters had the same Gaussian assumption.

Sounds like a pretty interesting course. Really I know about Kalman filters is the use case.

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