Results 111 to 120 of about 75,448 (316)
Forecasting With Dynamic Factor Models Estimated by Partial Least Squares
Journal of Forecasting, EarlyView.ABSTRACT Dynamic factor models (DFMs) have found great success in nowcasting and short‐term macroeconomic forecasting when incorporating large sets of predictive information. The factor loadings are typically estimated cross‐sectionally with principal component analysis (PCA) or maximum likelihood (ML), which ignore whether the factors have predictive ...
Samuel Rauhala
wiley +1 more source
FEATURES OF UNSCENTED KALMAN FILTER PERFORMANCE USING POLAR MEASUREMENTS
Доклады Белорусского государственного университета информатики и радиоэлектроники, 2019 The principle of the unscented transformation and features of Unscented Kalman filter performance using polar measurement is considered. The estimation performance of Extended Kalman filter and Unscented Kalman Filter is compared.
P. A. Khmarski, A. S. Solonar
doaj
Implementation of unknown parameter estimation procedure for hybrid and discrete non‐linear systems
IET Radar, Sonar & NavigationThe application of the hybrid extended Kalman filter (HEKF), hybrid unscented Kalman filter (HUKF), hybrid particle filter (HPF), and hybrid extended Kalman particle filter (HEKPF) is discussed for hybrid non‐linear filter problems, when prediction ...
Mahdi Razm‐Pa
doaj +1 more source
Stochastic Surface Models for Commodity Futures: A 2D Kalman Filter Approach [PDF]
We propose a two-dimensional Kalman filter approach that, additional to the information contained in futures prices evolution over time, makes use of information contained in the term structure of commodity futures along a second dimension of maturities.
Fernández Macho, Francisco Javier
core
Experimental characterisation of quad rotor controller based on Kalman Filter
, 2018 This paper presents experimental techniques to extract the calibration parameters needed for the control algorithm (electrical and aerodynamic constants) and Kalman filter (R and Q covariance matrices for noise measurement and process). The validation of
Josaph, Ajay K +3 more
core +1 more source
Nowcasting World Trade With Machine Learning: A Three‐Step Approach
Journal of Forecasting, EarlyView.ABSTRACT We nowcast world trade using machine learning, distinguishing between tree‐based methods (random forest and gradient boosting) and their linear‐regression‐based counterparts (macroeconomic random forest and gradient boosting—linear). While much less used in the literature, the latter are found to outperform not only the tree‐based techniques ...
Menzie Chinn +2 more
wiley +1 more source
Application of Kalman Filter Algorithm in Battery State-of-Charge Detection
Chemical Engineering Transactions, 2018 This paper throws light on the State-Of-Charge (SOC) and the detection technology of vehicle battery based on the Kalman filter algorithm. To fill the gaps of the Ampere-hour integration estimation algorithm and the extended Kalman filter estimation ...
Tuo Zheng
doaj +1 more source
The Annals of Statistics, 1991 A state is said to be diffuse if its covariance matrix is arbitrarily large. Using a modified form of the Kalman filter, necessary and sufficient conditions for the existence of diffuse constructs are obtained. Applications to likelihood evaluation, diffuse prediction and diffuse smoothing are given.
openaire +2 more sources
An Economist´s guide to the Kalman filter [PDF]
Almost since its appearance, the Kalman Filter (KF) has been successfully used in control engineering. Unfortunately, most of its important results have been published in engineering journals with language, notation and style proper of engineers. In this
Francisco Venegas, Enrique de Alba
core
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters [PDF]
, 2010 Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates.
Ruiz Ortega, Esther +2 more
core