An alternative derivation of the Kalman filter using the quasi-likelihood method

DOI10.1016/J.JSPI.2006.09.010MaRDI QIDQ880264zbMATH OpenOpenAlexFDO

Authors Yan-Xia Lin

Publication date 15 May 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.09.010

zbMATH Keywords

quasi-likelihoodquasi-likelihood estimatequasi-score estimating function

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Recommendations

• A quasi-linear estimation method--Application to Kalman filtering with stochastic regressors
• A new derivation of the cubature Kalman filters
• A matrix theoretic derivation of the Kalman filter
• A quadratic Kalman filter
• scientific article; zbMATH DE number 4160619
• A derivative-free implementation of the extended Kalman filter
• On designing quasi-consistent unscented Kalman filter
• Kalman Filtering for a Generalized Class of Nonlinear Systems and a New Gaussian Quadrature Technique
• An approach to construction of modified Kalman filter

Cites work

• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• scientific article; zbMATH DE number 3458075 (Why is no real title available?)
• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• On spaces of estimating functions
• Optimal estimating functions and wedderburn's quasi-likelihood
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Stochastic models, estimation, and control. Vol. 1
• The use of approximating models in Monte Carlo maximum likelihood estimation.
• Time Series Analysis of Repeated Surveys: The State-space Approach

Cited in

(3)

• Simple factor realized stochastic volatility models
• scientific article; zbMATH DE number 4160619 (Why is no real title available?)
• A quasi-linear estimation method--Application to Kalman filtering with stochastic regressors

This page was built for publication: An alternative derivation of the Kalman filter using the quasi-likelihood method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q880264)