Hidden AR Process and Adaptive Kalman Filter

arXiv2304.09531MaRDI QIDQ6433596FDOQ6433596

Publication date: 19 April 2023

Abstract: The model of partially observed linear system depending on some unknown parameters is considered. An approximation of the unobserved component is proposed. This approximation is realized in three steps. First an estimator of the method of moments of unknown parameter is constructed. Then this estimator is used for defining the One-step MLE-process and finally the last estimator is substituted to the equations of Kalman filter. The solution of obtained equations provide us the approximation (adaptive Kalman filter). The asymptotic properties of all mentioned estimators and MLE and Bayesian estimators of the unknown parameters are described. The asymptotic efficiency of adaptive filtering is discussed.

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: hypothesis testing (62M02)

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