New algorithms for estimation with sequentially correlated measurement noise †

DOI10.1080/00207727108920194zbMath0244.93058OpenAlexW1999153868MaRDI QIDQ5656661

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Publication date: 1971

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207727108920194

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Related Items (2)

Forecasting based on time series with correlated errors by information preserving filter Demand forecasting from information theory ⋮ Error analysis of modeling and bias errors in continuous time state estimation

Cites Work

• Reduced order Kalman filter†
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