There is a large amount of literature on applications of the Kalman filter model, which is used for estimation of unobservable variables. As for applications, we can consider a time-varying parameter model, an estimation of seasonal components, an estimation of autoregressive-moving average (ARMA) model, prediction of final data and so on. Thus, the Kalman filter is particularly powerful and useful in the model that includes unobservable components.
KeywordsKalman Filter Extended Kalman Filter Taylor Series Expansion Transition Equation Nonlinear Filter
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