Hidden AR process and adaptive Kalman filter

DOI10.1007/s10463-024-00908-7MaRDI QIDQ6664137

Yury A. Kutoyants

Publication date: 16 January 2025

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

parameter estimationKalman filterhidden Markov processadaptive Kalman filtermethod of moments estimatorspartially observed linear systemone-step MLE-processMLE and Bayesian estimatorson-line approximation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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