Filtering and Prediction

Christiaan Heij (), André C.M. Ran () and Frederik van Schagen ()
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Christiaan Heij: Erasmus University Rotterdam, Department of Econometrics
André C.M. Ran: Vrije Universiteit, Department of Mathematics
Frederik van Schagen: Vrije Universiteit, Department of Mathematics

Chapter 7 in Introduction to Mathematical Systems Theory, 2021, pp 101-120 from Springer

Abstract: Abstract Stochastic systems can be applied for forecasting purposes. The classical solution for filtering, smoothing and prediction of linear systems was proposed by Wiener and Kolmogorov in terms of spectral representations. The Kalman filter is a much more efficient, recursive solution in terms of state space models.

Date: 2021
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DOI: 10.1007/978-3-030-59654-5_7

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