Abstract
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.
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© 2000 Springer-Verlag Berlin Heidelberg
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Franěk, P. (2000). Kalman Filtering. In: XploRe — Learning Guide. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-60232-0_10
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DOI: https://doi.org/10.1007/978-3-642-60232-0_10
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-66207-5
Online ISBN: 978-3-642-60232-0
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