Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors
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Publication:3727192
DOI10.1080/03610928508829086zbMath0595.62096MaRDI QIDQ3727192
Publication date: 1985
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610928508829086
Kalman filter; engineering; econometrics; normal correlation; stochastic regressors; conditionally Gaussian distributions; deterministic regressors; Gaussian discrete-time, dynamic linear models; lagged observations
62M20: Inference from stochastic processes and prediction
60G15: Gaussian processes
93E11: Filtering in stochastic control theory
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