Linear Gaussian state space modeling is treated in this chapter. The prediction, filtering and smoothing formulas in the standard Kalman filter are shown. Model identification or, computation of the likelihood of the model is also treated. Some of the well known...
CITATION STYLE
Kitagawa, G., & Gersch, W. (1996). Linear Gaussian State Space Modeling (pp. 55–65). https://doi.org/10.1007/978-1-4612-0761-0_5
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