On the Kalman filter with possibly degenerate and correlated errors (Q1881081)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Kalman filter with possibly degenerate and correlated errors |
scientific article |
Statements
On the Kalman filter with possibly degenerate and correlated errors (English)
0 references
4 October 2004
0 references
The paper is concerned with the filtering problem for linear stochastic models with state and observation noises which are possibly correlated and with singular covariance matrices. An algorithm for the solution of this problem is proposed based on general results concerning parameter estimation in statistical linear models.
0 references
linear filtering
0 references
correlated noise
0 references
singular covariance matrix
0 references
statistical linear models
0 references
0 references
0 references
0 references
