Results 91 to 100 of about 402,870 (201)
Linear and nonlinear filtering in mathematical finance: a review [PDF]
, 2010 Copyright @ The Authors 2010This paper presents a review of time series filtering and its applications in mathematical finance. A summary of results of recent empirical studies with market data are presented for yield curve modelling and stochastic ...
Date, P +3 more
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Boundary Value Problems Arising in Kalman Filtering
Boundary Value Problems, 2008 The classic Kalman filtering equations for independent and correlated white noises are ordinary differential equations (deterministic or stochastic) with the respective initial conditions. Changing the noise processes by taking them to be more realistic
Bashirov Agamirza +2 more
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Kalman Filtering: with Real-Time Applications
, 2009 Kalman Filtering with Real-Time Applications presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a
Chen, Guanrong, Chui, Charles K
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Extended Kalman filtering with stochastic nonlinearities and multiple missing measurements [PDF]
, 2012 Copyright @ 2012 ElsevierIn this paper, the extended Kalman filtering problem is investigated for a class of nonlinear systems with multiple missing measurements over a finite horizon.
Wang, Z, Stergioulas, LK, Hu, J, Gao, H
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Application of Kalman filtering based on sequential processing for satellite navigation
Tongxin xuebao, 2012 In order to reduce the operational volume and ensure the real-time capability of navigation algorithm of Kalman filtering,a novel filtering method called single-satellite sequential extended Kalman filtering (S3EKF) was proposed based on extended Kalman ...
Can-hui CHEN +2 more
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A Kalman filtering approach to rapidly detecting modal changes in power systems [PDF]
, 2007 This paper applies Kalman filtering techniques to the problem of detecting modal changes in large interconnected power systems. Short term alarming procedures are developed based on the statistics of the power spectral density of the Kalman filter ...
O'Shea, P +5 more
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Non-linear and robust filtering: From the Kalman filter to the particle filter [PDF]
, 2002 This report presents a review of recent non-linear and robust filtering results for stochastic systems. We focus on stability and robustness issues that arise in the filtering of real systems.
Ford, Jason J.
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Application of Adaptive Kalman Filter Algorithm in Fracturing Operation
Shiyou jixie, 2020 It is difficult to obtain an accurate mathematical model and noise statistical characteristics when filtering the pressure in fracturing operation using a conventional Kalman filter, which results in poor filtering effect.
Chen Chunxia, Sun Xiang, Lei Xiange
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Journal of Statistical Software, 2011 Support in R for state space estimation via Kalman filtering was limited to one package, until fairly recently. In the last five years, the situation has changed with no less than four additional packages offering general implementations of the Kalman ...
Fernando Tusell
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Kalman filter and extended Kalman filter
, 2017 In the Bachelor’s thesis we describe the Kalman filtering algorithm for linear-Gaussian state space models and give an example of its application. We describe the extended Kalman filter for differentiable Gaussian state space models and give examples of its application.
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