Restricted Kalman filtering : theory, methods, and application
In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measu...
Kaydedildi:
| Yazar: | |
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| Materyal Türü: | Livre numérique |
| Dil: | Anglais |
| Baskı/Yayın Bilgisi: |
New York, NY :
Springer New York
[20..].
Cham : Springer Nature |
| Edisyon: | 1st ed. 2012. |
| Seri Bilgileri: | SpringerBriefs in Statistics
12 |
| Online Erişim: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Not: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Restricted Kalman Filtering, Texte imprimé, 9781461447375 • Restricted Kalman Filtering, Texte imprimé, 9781461447375 • Restricted Kalman Filtering, Texte imprimé, 9781461447399 • Restricted Kalman Filtering, Texte imprimé, 9781461447375 • Restricted Kalman Filtering, Texte imprimé, 9781461447399 |
| Özet: | In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics) |
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| Diğer Bilgileri: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9781461447382 |
| ISSN: | 2191-5458 |
| Erişim: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |