Restricted Kalman Filtering

Name: Restricted Kalman Filtering
Brand: Springer, Berlin
SKU: 9781461447375
Price: 221.44 RON
Availability: InStock

Theory, Methods, and Application

Autor: Adrian Pizzinga

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Editura: Springer, Berlin

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In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measur...

Informații despre carte

Autor

Adrian Pizzinga

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2012

Pagini

EAN

9781461447375

ISBN

1461447372

Enbook ID

01428100

Editura

Springer, Berlin

Greutate

127

Dimensiuni

155 x 235 x 3

Descriere completă

In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics).

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Restricted Kalman Filtering

Theory, Methods, and Application

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Descriere completă

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