State Space Estimation: from Kalman Filter Back to Least Squares
This note reviews a direct least squares estimation of a state space model and highlights its advantages over the standard Kalman filter in some applications. Although there is a close relationship between these two concepts, dual understanding of the estimation problem seems to be little appreciate...
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| Format: | Article |
| Language: | English |
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Czech Statistical Office
2023-06-01
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| Series: | Statistika: Statistics and Economy Journal |
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| Online Access: | https://www.czso.cz/documents/10180/192164338/32019723q2_235_plasil.pdf/e61d7cf3-071b-4588-8c42-0003a0e2f352?version=1.3 |