Bayesian estimation and the Kalman filter

DOI10.1016/0898-1221(95)00156-SzbMath0834.62092MaRDI QIDQ1903220

A. L. Barker, W. N. Martin, Donald E. Brown

Publication date: 8 April 1996

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

trackingstate estimationGaussian random vectorsprobabilistic Turing machinedynamic classificationKalman filtering algorithmtutorial articlediscrete-time Markov process modelslinear-Gaussian model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Software, source code, etc. for problems pertaining to statistics (62-04) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Stochastic Filtering Methods in Electronic Trading ⋮ Kalman filter approach to real options with active learning

Uses Software

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Cites Work

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• Statistical decision theory and Bayesian analysis. 2nd ed
• Tracking and data association
• Statistics, probability and chaos. With discussion and a rejoinder by the author
• Chaos, fractals and statistics
• Application of state estimation to target tracking
• Tracking and classifying multiple targets without<tex>a priori</tex>identification
• Computational Complexity of Probabilistic Turing Machines
• Distributions involving norms of correlated Gaussian vectors
• Probabilistic Turing Machines and Computability

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