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Published in:
2000 | OriginalPaper | Chapter
Kalman Filtering
Author : Petr Franěk
Published in: XploRe — Learning Guide
Publisher: Springer Berlin Heidelberg
Included in: Professional Book Archive
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In recursive methods the construction of an estimate at time t is based on an estimate from the previous time and the observations available in the time t. Exponential smoothing and Yule-Walker equations are examples of recursive algorithms but by defining a state-space model one can build a unifying theory of recursive methods with the Kalman filter as a general (linear) solution of filtering, smoothing and prediction problems.