ISSN:
1572-9974
Keywords:
Kalman filter
;
smoothing
Source:
Springer Online Journal Archives 1860-2000
Topics:
Computer Science
,
Economics
Notes:
Abstract This paper provides straightforward derivations of a wide variety of smoothing formulae which are associated with the Kalman filter. The smoothing operations are of perennial interest in the fields of communications engineering and signal processing. Recently they have begun to interest statisticians and economists. It is often asserted that it is tedious and difficult to derive the formulae. We show that this need not be so.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01299174
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