A Kalman filter primer

A Kalman Filter Primer

Volumn , Issue , 2005, Pages 1-186

  Eubank, R L ^a  

^a ARIZONA STATE UNIVERSITY   (United States)

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EID: 85057655638     PISSN: None     EISSN: None     Source Type: Book    
DOI: None     Document Type: Book

References (19)

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2. Ansley, C. F. and Kohn, R. (1985). Estimation, filtering and smoothing in state space models with incompletely specified initial conditions. The Annals of Statistics 13, 1286–1316.
3. Davis, P. (1975). Interpolation and Approximation. New York: Dover.
4. Doob, J. (1953). Stochastic Processes. New York: Wiley.
5. Eubank, R. and Wang, S. (2002). The equivalence between the Cholesky decomposition and the Kalman filter. American Statistician 56, 39– 43.
6. Gelb, A. (1974). Applied Optimal Estimation. Boston: MIT Press.
7. Goldberger, A. (1962). Best linear unbiased prediction in the generalized linear regression model. Journal of the American Statistical Association 57, 369–375.
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9. Householder, A. (1964). The Theory of Matrices in Numerical Analysis. New York: Dover.
10. de Jong, P. (1988). The likelihood for a state space model. Biometrika 75, 165–169.
11. de Jong, P. (1989). Smoothing and interpolation with the state-space model. Journal of the American Statistical Association 84, 1085–1088.
12. de Jong, P. (1991). The diffuse Kalman filter. The Annals of Statistics 19, 1073–1083.
13. Kalman, R. (1960). A new approach to linear filtering and prediciton problems. Journal of Basic Engineering 82, 34–45.
14. Kalman, R. and Bucy, R. (1961). New results in linear filtering and prediction theory. Journal of Basic Engineering 85, 95–108.
15. Khinchin, A. (1997). Continued Fractions. New York: Dover.
16. Kohn, R. and Ansley, C. (1989). A fast algorithm for signal extraction, influence and cross-validation in state space models. Biometrika 76, 65–79.
17. Koopman, S. and Durbin, J. (2001). Time Series Analysis by State Space Methods. New York: Oxford University Press.
18. Robinson, G. (1991). The BLUP is a good thing: the estimation of random effects. Statist. Science 6, 15–51.
19. Wall, H. (1948). Analytic Theory of Continued Fractions. New York: van Nostrand.