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kalman filtering, bayesian learning

does anybody know of a fully tractible kalman filtering example (model) with a closed form solution? I'm interested in an analytical example, NOT a numerical one. thank in advance.

Reply to
Misseur Kool
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Misseur,

The classical Kalman filter (linear, Gaussian white noise model) can be solved in closed form. Check that in any textbook, for example,

"Introduction to Random Signals and Applied Kalman Filtering with Matlab Exercises and Solutions" Brown and Hwang

Here is a good web reference:

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Not sure if these are what you need.

Gary

Misseur Kool wrote:

Reply to
gangxu_csu

i'm looking for one thoughtful introductory lecture article that describes one analytical non-trivial closed form solution in non-jargony language at the level of 1st year phd student in economics or finance.

Reply to
Mathematics Lover

Hi Misseur. an example is at:

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and search forward for "Kalman".

John

Reply to
conover

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