Adaptive Filtering

DOI10.2307/1269503zbMath0556.62074OpenAlexW4244212709MaRDI QIDQ3219627

William C. Louv

Publication date: 1984

Full work available at URL: https://doi.org/10.2307/1269503

zbMATH Keywords

Kalman filteradaptive filterlinear dynamic modelminimum norm quadratic unbiased estimationalmost unbiased estimationobservation noise covariance matricesstate noisevariance-component estimation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

Analytical uses of Kalman filtering in econometrics — A survey ⋮ Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method ⋮ Bayesian forecasting and detecting structural changepoints in dynamic models

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