Linear estimation for discrete systems with uncertain observations: an application to the correction of declared incomes in inquiry

DOI10.1016/j.amc.2003.07.029zbMath1061.65057OpenAlexW1997736563MaRDI QIDQ1886570

C. Sánchez-González, T. M. García-Muñoz

Publication date: 18 November 2004

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2003.07.029

zbMATH Keywords

predictiondiscrete systemscorrection methodKalman filteringlinear filteringfinanceestimation algorithmuncertain observationsfamily income estimationshidden income estimationincome inquiryleast mean squar errorMathematica code programs

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Statistical methods; economic indices and measures (91B82) Estimation in survival analysis and censored data (62N02)

Related Items (1)

Recursive linear estimation for discrete-time systems in the presence of different multiplicative observation noises

Uses Software

• Mathematica

Cites Work

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• Stochastic processes and filtering theory
• Filtering in discrete-time systems with state and observation noises correlated on a finite time interval
• Linear estimation for discrete-time systems in the presence of time-correlated disturbances and uncertain observations
• Optimal recursive estimation with uncertain observation

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