Restricted Kalman Filtering : Theory, Methods, and Application
Language: English
Published by Springer, Copernicus, 2012
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 55.14
Quantity: 1 available
Add to basketItem description from seller
Druck auf Anfrage Neuware - Printed after ordering - In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter - each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics).…
Seller Inventory # 9781461447375
- Title
- Restricted Kalman Filtering : Theory, Methods, and Application
- Author
- Adrian Pizzinga
- Publisher
- Springer, Copernicus
- Publication year
- 2012
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 1461447372
- ISBN 13
- 9781461447375
- Item weight
- 125 grams
- Dimensions
- 235x155x5 mm
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