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.
kalman filtering, bayesian learning
Sep 13, 2005
3 Replies
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:
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.
Hi Misseur. an example is at:
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and search forward for "Kalman".
John
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