A Kalman Filter Primer

DOI10.1201/9781420028676MaRDI QIDQ5200624zbMATH OpenOpenAlexFDO

Authors

Publication date 7 April 2006

Full work available at URL https://doi.org/10.1201/9781420028676

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Cited in

(5)

• On the asymptotics of penalized spline smoothing
• The Kalman filter: an introduction to the mathematics of linear least mean square recursive estimation
• Stochastic filtering methods in electronic trading
• Intuitive understanding of Kalman filtering with MATLAB
• Statistical inference for dynamical systems: a review

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