ARMA Modeling via Bounded-Real Functions and Lattice Filters
نویسندگان
چکیده
منابع مشابه
Kalman Filters and Arma Models
The Kalman filter is the celebrated algorithm giving a recursive solution of the prediction problem for time series. After a quite general formulation of the prediction problem, the contributions of its solution by the great mathematicians Kolmogorov and Wiener are shorthly recalled and it is showed as Kalman filter furnishes the optimal predictor, in the sense of least squares, for processes w...
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ژورنال
عنوان ژورنال: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
سال: 1998
ISSN: 2188-4730,2188-4749
DOI: 10.5687/sss.1998.93