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A Kalman Filter Primer.

Eubank (mathematics and statistics, Arizona State U.) offers a self-contained, concise rigorous derivation of all the basic Kalman filter recursions from first principles. He lays out the basic prediction problem for signal-plus-noise models, deriving the Gramm-Schmidt algorithm and Cholesky decompo...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Eubank, R. L.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken : CRC Press, 2005.
Temas:
Acceso en línea:Texto completo

MARC

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505 0 |a Front Cover; Preface; Contents; 1. Signal-Plus-Noise Models; 2. The Fundamental Covariance Structure; 3. Recursions for L and L-1; 4. Forward Recursions; 5. Smoothing; 6. Initialization; 7. Normal Priors; 8. A General State-Space Model; Appendices; References; Index. 
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