Gauss, Kalman and advances in recursive parameter estimation
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...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Forecasting|
|01_Young_Gauss,_Kalman_and_advances_in_2011.pdf||649.74 kB||Adobe PDF||Request a copy|
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