A note on Kalman Filter

DOI10.1073/PNAS.191354498zbMATH Open0993.62084OpenAlexW2111814517WikidataQ33943611 ScholiaQ33943611MaRDI QIDQ4547680FDOQ4547680

Authors: C. R. Rao 

Publication date: 11 September 2002

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: http://www.pnas.org/content/vol98/issue19/#STATISTICS

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zbMATH Keywords

recursive estimationmissing observationsdynamical and observational equationsreduction to linear equations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cited In (7)

• Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series
• Comments on ‘Frequency domain properties of Kalman filters’
• A note on Kalman filtering for the seasonal moving average model
• Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter
• Kalman filtering and forecasting algorithms with use of nonparametric functional estimators
• Predicting steam production using Kalman filter
• A low dimensional Kalman filter for systems with lagged states in the measurement equation

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