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A Kalman filter primer / R.L. Eubank.
- Format:
- Book
- Author/Creator:
- Eubank, Randall L., 1952-
- Series:
- Statistics, textbooks and monographs ; v. 186.
- Statistics, textbooks and monographs ; v. 186
- Language:
- English
- Subjects (All):
- Kalman filtering--Textbooks.
- Kalman filtering.
- Physical Description:
- 1 online resource (199 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Boca Raton, Fla. : Chapman & Hall/CRC, 2006.
- Language Note:
- English
- Summary:
- Eubank (mathematics and statistics, Arizona State U.) offers a self-contained, concise rigorous derivation of all the basic Kalman filter recursions from first principles. He lays out the basic prediction problem for signal-plus-noise models, deriving the Gramm-Schmidt algorithm and Cholesky decomposition. He covers the fundamental covariance struc
- Contents:
- chapter 1 Signal-Plus-Noise Models
- chapter 2 The Fundamental Covariance Structure
- chapter 3 Recursions for L and L−1
- chapter 4 Forward Recursions
- chapter 5 Smoothing
- chapter 6 Initialization
- chapter 7 Normal Priors
- chapter 8 A General State-Space Model.
- Notes:
- Description based upon print version of record.
- Includes bibliographical references (p. 183-184) and index.
- Description based on metadata supplied by the publisher and other sources.
- ISBN:
- 9786611326173
- 9781040199923
- 1040199925
- 9780429117596
- 0429117590
- 9781281326171
- 1281326178
- 9781420028676
- 1420028677
- OCLC:
- 475983909
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