Forecasting: State‐Space Models and Kalman Filter Estimation
Kemal Gürsoy, Melike Baykal‐Gürsoy · Wiley Encyclopedia of Operations Research and Management Science · 2011
Abstract We present continuous and discrete time linear state‐space models and explain the Kalman filter algorithm that is used to obtain the one‐step‐ahead state estimations recursively. Adaptive and nonlinear state estimations, as well as parameter estimation, with a Kalman filter are also briefly described.