This program is based on using normal influence diagrams as described in Kenley's doctoral dissertation (Kenley, Chapter 2) to perform optimal filtering and prediction for linear multistage processes ...

本项目是Kalman and Bayesian Filters in Python的中文翻译，这本书以足够通俗易懂的方式来解释了卡尔曼滤波器等一众滤波器的原理 ...

This course introduces the Kalman filter as a method that can solve problems related to estimating the hidden internal state of a dynamic system. It develops the background theoretical topics in state ...

This is an expository article that develops the Kalman filter from a Cholesky factorization perspective. In particular, the Kalman filter is shown to be a modification of the Cholesky factorization ...

This paper proposes a new econometric model for the estimation of optimal hedge ratios (HRs): the Kalman filter error-correction model (KF–ECM). This paper proposes a new econometric model for the ...