Restricted Kalman Filtering
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Restricted Kalman Filtering
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Author : Adrian Pizzinga
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-07-25
Restricted Kalman Filtering written by Adrian Pizzinga and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-25 with Mathematics categories.
In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter – each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics).
Stochastic Differential Equations For Science And Engineering
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Author : Uffe Høgsbro Thygesen
language : en
Publisher: CRC Press
Release Date : 2023-06-15
Stochastic Differential Equations For Science And Engineering written by Uffe Høgsbro Thygesen and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-15 with Mathematics categories.
Stochastic Differential Equations for Science and Engineering is aimed at students at the M.Sc. and PhD level. The book describes the mathematical construction of stochastic differential equations with a level of detail suitable to the audience, while also discussing applications to estimation, stability analysis, and control. The book includes numerous examples and challenging exercises. Computational aspects are central to the approach taken in the book, so the text is accompanied by a repository on GitHub containing a toolbox in R which implements algorithms described in the book, code that regenerates all figures, and solutions to exercises. Features: Contains numerous exercises, examples, and applications Suitable for science and engineering students at Master’s or PhD level Thorough treatment of the mathematical theory combined with an accessible treatment of motivating examples GitHub repository available at: https://github.com/Uffe-H-Thygesen/SDEbook and https://github.com/Uffe-H-Thygesen/SDEtools
Constraining Kalman Filter And Smoothing Estimates To Satisfy Time Varying Restrictions
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Author : Howard Edward Doran
language : en
Publisher:
Release Date : 1990
Constraining Kalman Filter And Smoothing Estimates To Satisfy Time Varying Restrictions written by Howard Edward Doran and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Kalman filtering categories.
Optimal Filtering
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Author : Brian D. O. Anderson
language : en
Publisher: Courier Corporation
Release Date : 2012-05-23
Optimal Filtering written by Brian D. O. Anderson and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-23 with Science categories.
Graduate-level text extends studies of signal processing, particularly regarding communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; discrete-time Kalman filter; time-invariant filters; more. 1979 edition.
Digital Signal Filtering Analysis And Restoration
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Author : Jiří Jan
language : en
Publisher: IET
Release Date : 2000
Digital Signal Filtering Analysis And Restoration written by Jiří Jan and has been published by IET this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Technology & Engineering categories.
In the belief that every engineer and scientist working with signals or data should have a knowledge of them, Jan (electrical engineering and computer science, Technical U. of Brno, Czech Republic) explains some of the theoretical concepts that underlie the methods now in common use to process and analyze signals and data. He examines such topics as classical digital filtering, averaging methods to improve the signal-to-noise ratio of repetitive signals, correlation and spectral analysis, methods to estimate and define unknown signals, non-linear processing and neural networks, and multidimensional signals and data. The Czech original Cislicova filtrace, analyza a resaurace signalu was published by Vutium Press, Brno, in 1997. c. Book News Inc.
Spatial Representation And Reasoning For Robot Mapping
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Author : Diedrich Wolter
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-07-23
Spatial Representation And Reasoning For Robot Mapping written by Diedrich Wolter and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07-23 with Technology & Engineering categories.
This book demonstrates bene?ts of abstract and qualitative reasoning that have not received much attention in the context of autonomous robotics before. Bremen, Christian Freksa December 2007 Director of the SFB/TR 8 Spatial Cognition Preface This book addresses spatial representations and reasoning techniques for - bile robot mapping, providing an analysis of fundamental representations and processes involved. A spatial representation based on shape information is p- posed and shape analysis techniques are developed to tackle the correspondence problem in robot mapping. A general mathematical formulation is presented to provide the formal ground for an e?cient matching of con?gurations of objects. This book is a slightly revised version of my doctoral thesis submitted to the Faculty of Mathematics and Computer Science of the University of Bremen, Germany. Manycontributeto the developmentofa dissertation,butsomeofthemstand out. Christian Freksa, I thank you for supporting and encouraging my work, for introducing me to interdisciplinary work, for giving me the freedom to develop this dissertation, and for providing an enjoyable atmosphere to work in. Longin Jan Latecki, thank you for countless in-depth discussions helping me to develop andtopositionmywork,forthefruitfulcollaboration,andformakingaresearch stay possible that has been very valuable to me. I thank the research groups in Bremen and Philadelphia for helpful discussions and feedback, in particular Jan Oliver Wallgrun. ̈ I also thank Kai-Florian Richter, Sven Bertel, and Lutz Frommberger for feedback on this work. Robert Ross, thank you for helping to proof-read this dissertation.
Stochastic Volatility And The Pricing Of Financial Derivatives
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Author : Antoine Petrus Cornelius van der Ploeg
language : en
Publisher: Rozenberg Publishers
Release Date : 2006
Stochastic Volatility And The Pricing Of Financial Derivatives written by Antoine Petrus Cornelius van der Ploeg and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Principles Of 3d Image Analysis And Synthesis
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Author : Bernd Girod
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Principles Of 3d Image Analysis And Synthesis written by Bernd Girod and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Computers categories.
Traditionally, say 15 years ago, three-dimensional image analysis (aka computer vi sion) and three-dimensional image synthesis (aka computer graphics) were separate fields. Rarely were expert
The Variational Bayes Method In Signal Processing
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Author : Václav Šmídl
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-03-30
The Variational Bayes Method In Signal Processing written by Václav Šmídl and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-03-30 with Technology & Engineering categories.
Treating VB approximation in signal processing, this monograph is for academic and industrial research groups in signal processing, data analysis, machine learning and identification. It reviews distributional approximation, showing that tractable algorithms for parametric model identification can be generated in off-line and on-line contexts.
Understanding Dsge Filters In Forecasting And Policy Analysis
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Author : Michal Andrle
language : en
Publisher: International Monetary Fund
Release Date : 2013-05-08
Understanding Dsge Filters In Forecasting And Policy Analysis written by Michal Andrle and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-08 with Business & Economics categories.
This paper introduces methods that allow analysts to (i) decompose the estimates of unobserved quantities into observed data, (ii) to better understand revision properties of the model, and (iii) to impose subjective prior constraints on path estimates of unobserved shocks in structural economic models. For instance, a decomposition of the flexible-price output gap, or a technology shock, into contributions of output, inflation, interest rates, and other observed variables' contribution is feasible. The intuitive nature and analytical clarity of the suggested procedures are appealing for policy-related and forecasting models.