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Introduction

  • Hisashi Tanizaki
Chapter

Abstract

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.

Keywords

Kalman Filter Extended Kalman Filter Taylor Series Expansion Transition Equation Nonlinear Filter 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1996

Authors and Affiliations

  • Hisashi Tanizaki
    • 1
  1. 1.Faculty of EconomicsKobe UniversityRokkodai, NadakuJapan

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