Keyword: Kalman filter

Found 23 papers in total
Maximum likelihood estimation via the extended covariance and combined square-root filters
Maximum likelihood estimation via the extended covariance and combined square-root filters
2009,
The method of maximum likelihood is a general method for parameter estimation and is...
A Comparison Study of Single-Scale and Multiscale Approaches for Data-Driven and Model-Based Online Denoising
A Comparison Study of Single-Scale and Multiscale Approaches for Data-Driven and Model-Based Online Denoising
2014,
Signal denoising is a pervasive operation in most online applications, such as...
Robust filtering of process in the stationary difference stochastic system
Robust filtering of process in the stationary difference stochastic system
2011,
A technique to construct the robust Kalman filter for process estimation in the...
Nonparametric interpolation of the Markov sequence
Nonparametric interpolation of the Markov sequence
2008,
Consideration was given to the problem of interpolation (smoothing) of the...
Kalman filtering as a performance monitoring technique for a propensity scorecard
Kalman filtering as a performance monitoring technique for a propensity scorecard
2011,
Propensity scorecards allow forecasting, which bank customers would like to be granted...
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
2008,
This paper investigates the forecasting ability of four different GARCH models and the...
Linking series generated at different frequencies
Linking series generated at different frequencies
2008,
This is a report on our studies of the systematical use of mixed-frequency datasets....
An extended Kalman filter for collaborative supply chains
An extended Kalman filter for collaborative supply chains
2004,
Supply chains can often be complex due to the large mesh of interconnected suppliers,...
A reduced-order stochastic observer approach to optimal state estimation with noise-free measurements
A reduced-order stochastic observer approach to optimal state estimation with noise-free measurements
2001,
In a continuous-time Kalman filter, it is required that the measurement noise...
Testing in unobserved components models
Testing in unobserved components models
2001,
This article reviews recent work on testing for the presence of non-stationary...
On filtering over Îto–Volterra observations
On filtering over Îto–Volterra observations
2000,
In this paper, the Kalman–Bucy filter is designed for an...
Recursive optimization of state estimation of dynamic processes in the presence of patchy outliers in observations
Recursive optimization of state estimation of dynamic processes in the presence of patchy outliers in observations
1999,
In an earlier paper, the problem of recursive estimation of the state of linear...
Exact smoothing for stationary and non-stationary time series
Exact smoothing for stationary and non-stationary time series
2000,
In this work we derive an analytical relationship between exact fixed-interval...
Sensitivity of discrete-time Kalman filter to statistical modeling errors
Sensitivity of discrete-time Kalman filter to statistical modeling errors
1999,
The optimum filtering results of Kalman filtering for linear dynamic systems require...
Estimation and forecasting of long-memory processes with missing values
Estimation and forecasting of long-memory processes with missing values
1997,
This paper addresses the issues of maximum likelihood estimation and forecasting of a...
Trends, lead times and forecasting
Trends, lead times and forecasting
1997,
The innovations representation for a local linear trend can adapt to long run secular...
Kalman's rank conditions for time dependent linear systems
Kalman's rank conditions for time dependent linear systems
1993,
Kalman's well-known algebraic rank conditions are generalized for time-varying linear...
Adaptive pull-type production control using Kalman filters
Adaptive pull-type production control using Kalman filters
1997,
The purpose of this research was to design a closed-loop process control methodology...
Solving stochastic programming problems via Kalman filter and affine scaling
Solving stochastic programming problems via Kalman filter and affine scaling
1995,
Kalman filtering theory has been around for more than two decades and has been the...
Initial data truncation for multivariate output of discrete-event simulations using the Kalman filter
Initial data truncation for multivariate output of discrete-event simulations using the Kalman filter
1994,
Data truncation is a commonly accepted method of dealing with initialization bias in...
Using Kalman filter and finite difference techniques in default free bond pricing models
Using Kalman filter and finite difference techniques in default free bond pricing models
1993,
A model to price default free bonds, similar to ones developed by Cox, Ingersoll and...
Forecasting mean squared error for Structural Time Series Models
Forecasting mean squared error for Structural Time Series Models
1992,
A simulation study is carried out to examine the behaviour in small samples of various...
Kalman filters in navigation
Kalman filters in navigation
1989,
This paper puts forward a case for more precise navigation at sea. It commences by...
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