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 ...

We show how our definition of the likelihood of an autoregressive integrated moving average (ARIMA) model with missing observations, alternative to that of Kohn and Ansley and based on the usual ...

The use of Kalman filter methods for high-performance order tracking of noise and vibration signals was introduced in 1993. Based on experience with that original formulation, further work has ...

EnSilica, a leading independent provider of semiconductor solutions and IP, has launched a Kalman Filter acceleration IP core for use in situational awareness radar sensors for advanced driver ...

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 ...