Abstract
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.
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© 2007 Birkhäuser Verlag
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(2007). Filtering and Prediction. In: Introduction to Mathematical Systems Theory. Birkhäuser Basel. https://doi.org/10.1007/978-3-7643-7549-2_7
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DOI: https://doi.org/10.1007/978-3-7643-7549-2_7
Publisher Name: Birkhäuser Basel
Print ISBN: 978-3-7643-7548-5
Online ISBN: 978-3-7643-7549-2
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