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 ...
State estimation and filtering techniques form the backbone of modern control, signal processing and data fusion methodologies. These techniques are employed to infer the internal states of a dynamic ...
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 ...
CATALOG DESCRIPTION: Advanced topics in random processes: point processes, Wiener processes; Markov processes, spectral representation, series expansion of random processes, linear filtering, Wiener ...
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