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Record Nr. |
UNINA9910452059803321 |
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Autore |
Eubank R. L (Randy L.) |
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Titolo |
A Kalman filter primer / / R.L. Eubank |
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Pubbl/distr/stampa |
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Boca Raton, Fla. : , : Chapman & Hall/CRC, , 2006 |
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ISBN |
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0-429-11759-0 |
1-281-32617-8 |
9786611326173 |
1-4200-2867-7 |
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Descrizione fisica |
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1 online resource (199 p.) |
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Collana |
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Statistics, textbooks and monographs ; ; v. 186 |
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Disciplina |
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Soggetti |
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Kalman filtering |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references (p. 183-184) and index. |
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Nota di contenuto |
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chapter 1 Signal-Plus-Noise Models -- chapter 2 The Fundamental Covariance Structure -- chapter 3 Recursions for L and L−1 -- chapter 4 Forward Recursions -- chapter 5 Smoothing -- chapter 6 Initialization -- chapter 7 Normal Priors -- chapter 8 A General State-Space Model. |
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Sommario/riassunto |
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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 decomposition. He covers the fundamental covariance struc |
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