Gauss, Kalman and advances in recursive parameter estimation

Peter C. Young

Journal of Forecasting, 2011, vol. 30, issue 1, 104-146

Abstract: The paper considers how the Kalman filter has influenced the development of recursive parameter estimation since the publication of Rudolf Kalman's seminal article in 1960. It will present a partial review of developments over the past half century and provide a tutorial introduction to the refined instrumental variable approach to the optimal recursive estimation of parameters in both discrete and continuous-time transfer function models. The paper concludes with a case study that shows how recursive parameter estimation and the Kalman filter can be combined in the design and development of a real‐time adaptive forecasting and data assimilation system for flow in river systems. Copyright (C) 2010 John Wiley & Sons, Ltd.

Keywords: Kalman filter; recursive parameter estimation; adaptive forecasting (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:30:y:2011:i:1:p:104-146

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