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A Kalman filter primer

Author: R L Eubank
Publisher: Boca Raton, Fla. : Chapman & Hall/CRC, 2006.
Series: Statistics, textbooks and monographs, v. 186.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
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The Kalman filter is an important tool for estimating the variables in a system in the presence of noise. This title offers a fundamental understanding of how the Kalman filter actually works, which  Read more...

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Genre/Form: Electronic books
Textbooks
Additional Physical Format: Print version:
Eubank, R.L. (Randy L.).
Kalman filter primer.
Boca Raton, Fla. : Chapman & Hall/CRC, 2006
(DLC) 2005051951
(OCoLC)61253979
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: R L Eubank
ISBN: 0824723651 9780824723651 1420028677 9781420028676
OCLC Number: 123439160
Description: 1 online resource (186 pages) : illustrations.
Contents: Signal-Plus-Noise Models Introduction The Prediction Problem State-Space Models What Lies Ahead The Fundamental Covariance Structure Introduction Some Tools of the Trade State and Innovation Covariances An Example Recursions for L and L-1 Introduction Recursions for L Recursions for L-1 An Example Forward Recursions Introduction Computing the Innovations State and Signal Prediction Other Options Examples Smoothing Introduction Fixed Interval Smoothing Examples Initialization Introduction Diffuseness Diffuseness and Least-Squares Estimation An Example Normal Priors Introduction Likelihood Evaluation Diffuseness Parameter Estimation An Example A General State-Space Model Introduction KF Recursions Estimation of ss Likelihood Evaluation Appendix A: The Cholesky Decomposition Appendix B: Notation Guide References Index
Series Title: Statistics, textbooks and monographs, v. 186.
Responsibility: R.L. Eubank.
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"We strongly recommend Eubank's book. It is a masterpiece of exposition, in a class by itself (there are no similar books at a truly introductory level), which makes basic understanding and applying Read more...

 
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