Filtering and Prediction


Stochastic systems can be applied for forecasting purposes. The classical solution for filtering, smoothing and prediction of linear systems was proposed by Wiener and Kolmogorov in terms of spectral representations. The Kalman filter is a much more efficient, recursive solution in terms of state space models.


Kalman Filter State Space Model Algebraic Riccati Equation White Noise Process Causal Function 
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© Birkhäuser Verlag 2007

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