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Gauss, Kalman and advances in recursive parameter estimation

Young, Peter C

Description

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]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/69473
Source: Journal of Forecasting
DOI: 10.1002/for.1187

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