The diffuse Kalman filter (Q1175397)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The diffuse Kalman filter |
scientific article |
Statements
The diffuse Kalman filter (English)
0 references
25 June 1992
0 references
A state is said to be diffuse if its covariance matrix is arbitrarily large. Using a modified form of the Kalman filter, necessary and sufficient conditions for the existence of diffuse constructs are obtained. Applications to likelihood evaluation, diffuse prediction and diffuse smoothing are given.
0 references
diffuse state
0 references
state space models
0 references
minimum mean square estimation
0 references
arbitrarily large covariance matrix
0 references
state estimation
0 references
smoothing
0 references
nonstationarity
0 references
modified form of the Kalman filter
0 references
likelihood evaluation
0 references
diffuse prediction
0 references
diffuse smoothing
0 references
