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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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
CRC Press,
2005.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.