If you program using values that represent anything in the real world, you have probably at least heard of the Kalman filter. The filter allows you to take multiple value estimates and process them ...
In configuring my Inertial Measurement Unit (IMU) for post-filtering of the data after the sensor, I see options for both a decimation FIR filter and also a Kalman filter. Which one is best for my ...
In this example, the log likelihood function of the SSM is computed using prediction error decomposition. The annual real GNP series, y t, can be decomposed as where ...
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