The diffuse Kalman filter (Q1175397)
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scientific article; zbMATH DE number 11547
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| English | The diffuse Kalman filter |
scientific article; zbMATH DE number 11547 |
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The diffuse Kalman filter (English)
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25 June 1992
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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.
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diffuse state
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state space models
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minimum mean square estimation
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arbitrarily large covariance matrix
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state estimation
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smoothing
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nonstationarity
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modified form of the Kalman filter
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likelihood evaluation
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diffuse prediction
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diffuse smoothing
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0.9260082
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0.9199673
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0.9182681
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0.9035456
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