Consider a linear, discrete-time dynamical system.
The concept of state is fundamental to this description. The state vector or simply state, denoted by x, is defined as the minimal set of data that is sufficient to uniquely describe the unforced dynamical behavior of the system; the subscript n denotes discrete time. In other words, the state is the least amount of data on the past behavior of the system that is needed to predict its future behavior. Typically, the state xk is unknown. To estimate it, we use a set of observed data, denoted by the vector yk. In mathematical terms, the block diagram embodies the following pair of equations: