Worst-case Prediction Performance Analysis of the Kalman Filter

zbMath1395.93554arXiv1611.02050MaRDI QIDQ5375271

Kristiaan Pelckmans, Sholeh Yasini

Publication date: 14 September 2018

Full work available at URL: https://arxiv.org/abs/1611.02050

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14)

Related Items (1)

How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?

This page was built for publication: Worst-case Prediction Performance Analysis of the Kalman Filter