A Kalman Filter Primer

R. L. Eubank - Collection Statistics: a series of TEXTBOOKS and MONOGRAPHS

186 pages, parution le 23/11/2005

Ajouter à une liste

Indisponible

Résumé

With its mathematically rigorous, "no frills" approach to the basic discrete-time Kalman filter, A Katman Filter Primer builds a thorough understanding of the inner workings and basic concepts of Kalman filter recursions from first principles. Instead of the typical Bayesian perspective, the author develops the topic via least-squares and classical matrix methods using the Cholesky decomposition to distill the essence of the Kalman filter and reveal the motivations behind the choice of the initializing state vector. He supplies pseudo-code algorithms for the various recursions, enabling code development to implement the fitter in practice.

A unique and ideal introduction, A Kalman Filter Primer...

Provides a concise, self-contained treatment of the Kalman filter, from first principles to code development, that is easily approachable by the non-statistician
Uses a simple, easily accessible framework that avoids notationa) overload and extraneous details
Presents complete proofs for every major result, endowing a fundamental understanding of the mathematics involved
Includes pseudo-code algorithmic summaries throughout the text

Sommaire

Signal-Plus-Noise Models
The Fundamental Covariance Structure
Recursions for L and L^-1
Forward Recursions
Smoothing
Initialization
Normal Priors
A General State-Space Model
A: The Cholesky Decomposition
B: Notation Guide
References
Index

Voir tout

Replier

Caractéristiques techniques

	PAPIER
Éditeur(s)	Chapman and Hall / CRC
Auteur(s)	R. L. Eubank
Collection	Statistics: a series of TEXTBOOKS and MONOGRAPHS
Parution	23/11/2005
Nb. de pages	186
Format	12 x 17
Couverture	Relié
Poids	208g
Intérieur	Noir et Blanc
EAN13	9780824723651
ISBN13	978-0-8247-2365-1