Journal article
Alternative equations for combining the results of Kalman filters
Computational Statistics & Data Analysis, Vol.29(2), pp.231-238
1998
Abstract
New equations are provided to combine the results of the Kalman filter applied in the usual way and the Kalman filter applied in the reverse direction in time. The new equations require fewer matrix inversions and are applicable under very mild conditions on the state space representation of the time series model. These equations form the basis of computationally efficient methods for investigating the possibility of anomalies such as outliers in a time series.
Details
- Title
- Alternative equations for combining the results of Kalman filters
- Authors/Creators
- R.H. Taplin (Author/Creator) - Murdoch University
- Publication Details
- Computational Statistics & Data Analysis, Vol.29(2), pp.231-238
- Publisher
- Elsevier
- Identifiers
- 991005544607807891
- Murdoch Affiliation
- School of Mathematical and Physical Sciences
- Language
- English
- Resource Type
- Journal article
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- Citation topics
- 9 Mathematics
- 9.92 Statistical Methods
- 9.92.220 Robust Estimation
- Web Of Science research areas
- Computer Science, Interdisciplinary Applications
- Statistics & Probability
- ESI research areas
- Mathematics