A Unified Approach to Dynamic Estimation

Robert E. Kalaba and Leigh Tesfatsion ()

Staff General Research Papers Archive from Iowa State University, Department of Economics

Abstract: Discrepancies between assumed dynamical models and observations are often handled by making further probabilistic assumptions, a tactic which has both strengths and weaknesses. A re-examination of filtering and smoothing is conducted, and an alternative multicriteria Flexible Least Squares (FLS) approach is advanced that does not require a probabilistic interpretation for discrepancy terms. This approach involves vector minimization as a key ingredient, and it specializes to the well-known Kalman, Viterbi, Larson-Peschon, and Swerling filters.Annotated pointers to related work can be accessed at http://www2.econ.iastate.edu/tesfatsi/flshome.htm

JEL-codes: C1 C3 C5 (search for similar items in EconPapers)
Date: 1991-09-01
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Published in Information Sciences, September 1991, vol. 57-58, pp. 159-171

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Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:11189

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