1. A method for deriving information about a propagating electromagnetic beam, the method employing a plurality of intensity images captured at parallel spaced apart planes at respective positions along a propagation path of the beam, the method comprising: initializing parameters of a state space model, the parameters including at least a covariance matrix initialised with a diagonal matrix; for successive ones of the intensity images, using the previously generated parameters and the intensity image to produce new parameters giving an successively improved description of the propagating electromagnetic beam, the new parameters including at least one covariance matrix which is a diagonal matrix.