Asymptotic distribution theory for the kalman filter state estimator

DOI10.1080/03610928408828808zbMath0555.62084MaRDI QIDQ3218980

James C. Spall, Kent D. Wall

Publication date: 1984

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928408828808

zbMATH Keywords

asymptotic normality; linear discrete-time systems; state space model; model validation; non-Gaussian disturbances; borderline stable-unstable systems; Kalman filter state estimator; measure of deviation from normality; stability properties of the state transition matrix

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62E20: Asymptotic distribution theory in statistics

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