A Generalization of the Kalman Filter for Models With State-Dependent Observation Variance

DOI10.2307/2288936zbMath0641.62057OpenAlexW4241918538MaRDI QIDQ3782627

Ben Zehnwirth

Publication date: 1988

Full work available at URL: https://doi.org/10.2307/2288936

zbMATH Keywords

Poisson distributionPoisson processstate-space modelsautoregressive processGauss-Markov theoryerror covariance matriceslinear Bayes theorygeneralization of exponential smoothingminimum mean squared error linear estimatorssteady-state generalized Kalman filter algorithmtime-varying intensity

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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