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Introduction to the Kalman filter

C. Snyder

in Advanced Data Assimilation for Geosciences: Lecture Notes of the Les Houches School of Physics: Special Issue, June 2012

Published in print:
2014
Published Online:
March 2015
ISBN:
9780198723844
eISBN:
9780191791185
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198723844.003.0003
Subject:
Physics, Geophysics, Atmospheric and Environmental Physics

This chapter introduces The Kalman filter, which implements Bayesian data assimilation for linear, Gaussian systems. Its update equations can also be derived as the best linear unbiased estimator ... More


Time Series Analysis by State Space Methods: Second Edition

James Durbin and Siem Jan Koopman

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.001.0001
Subject:
Mathematics, Probability / Statistics

This book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as ... More


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