A generalization of the Kalman filter based on Gauss-Markov theory
By: Ben Zehnwirth.
Series: Research paper / School of Economic and Financial Studies, Macquarie University ;; no. 243; Research paper (Macquarie University. School of Economic and Financial Studies) ;; no. 243.
Publisher: School of Economic and Financial Studies, Macquarie University
Published: 1982
Place of publication: [North Ryde, N.S.W.]
Language: eng
Number of pages: 14
Subjects: Stochastic processes.; Estimation theory.; Kalman filtering.
Notes: Bibliography: p. 14.