Adaptive Filtering Revisited

DOI10.2307/3009504MaRDI QIDQ3866976zbMATH OpenOpenAlexFDO

Authors Robert M. Oliver, Robert Nau

Publication date 1979

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://escholarship.org/uc/item/9jq292jh

zbMATH Keywords

Kalman filteradaptive filteringdynamic autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Cited in

(2)

• Recursive estimation of the observation and process noise covariances in online Kalman filtering
• Analysis and simulation of strong earthquake ground motions using ARMA models

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