Wiley StatsRef: Statistics Reference Online 2014
DOI: 10.1002/9781118445112.stat04585
|View full text |Cite
|
Sign up to set email alerts
|

Kalman Filter: Overview

Abstract: The Kalman Filter is an efficient method of estimation for a state space model. Best linear unbiased estimates of the mean and variance of the unknown state are updated recursively as new data is added. It is used in many areas. In actuarial work it has been mainly applied to credibility and reserving applications.

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1

Citation Types

0
1
0

Year Published

2017
2017
2023
2023

Publication Types

Select...
4
1

Relationship

0
5

Authors

Journals

citations
Cited by 5 publications
(1 citation statement)
references
References 29 publications
0
1
0
Order By: Relevance
“…The Kalman Filter estimator is centered around the state vector x and its associated state covariance matrix P. A state-transition matrix F transforms this state and its covariance from one time step k to the next [33]:…”
Section: Attitude Determination 221 Kalman Filter Overviewmentioning
confidence: 99%
“…The Kalman Filter estimator is centered around the state vector x and its associated state covariance matrix P. A state-transition matrix F transforms this state and its covariance from one time step k to the next [33]:…”
Section: Attitude Determination 221 Kalman Filter Overviewmentioning
confidence: 99%