Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure (Q5430504)
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scientific article; zbMATH DE number 5220241
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure |
scientific article; zbMATH DE number 5220241 |
Statements
Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure (English)
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16 December 2007
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Kalman filter
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linear projections
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nonstationarity
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