Understanding the kalman filter

American Statistician

Volumn 37, Issue 2, 1983, Pages 123-127

  Meinhold, Richard J ^a   Singpurwalla, Nozer D ^a  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

Author keywords

Bayesian inference; Box Jenkins models; Exponential smoothing; Forecasting; Multivariate normal distribution; Time series

Indexed keywords

EID: 84950957313     PISSN: 00031305     EISSN: 15372731     Source Type: Journal    
DOI: 10.1080/00031305.1983.10482723     Document Type: Article

References (8)

1. ANDERSON, T.W. (1958), An Introduction to Multivariate Statistical Analysis, New York: John Wiley.
2. BOX, G.E.P., and JENKINS, G.M. (1970), Time Series Analysis, Forecasting and Control, San Francisco: Holden-Day.
3. HARRISON, P.J., and STEVENS, C.F. (1971), “A Bayesian Approach to Short-Term Forecasting,” Operations Research Quarterly, 22, 341-362.
4. HARRISON, P.J., and STEVENS, C.F. (1976), “Bayesian Forecasting (with discussion),” Journal of the Royal Statistical Society, Ser. B, 38, 205-247.
5. KALMAN, R.E. (1960), “A New Approach to Linear Filtering and Prediction Problems,” Journal of Basic Engineering, 82, 34-45.
6. KALMAN, R.E., and BUCY, R.S. (1961), “New Results in Linear Filtering and Prediction Theory,” Journal of Basic Engineering, 83, 95-108.
7. PHADKE, M.S. (1981), “Quality Audit Using Adaptive Kalman Filtering,” ASQC Quality Congress Transactions-San Francisco, 1045-1052.
8. WEGMAN, E.J. (1982), “Kalman Filtering,” in Encyclopedia of Statistics, eds. Norman Johnson and Samuel Kotz, New York: John Wiley.