Specification of initial Kalman recursions of symmetric nonlinear state-space model

Specification of initial Kalman recursions of symmetric nonlinear state-space model

A new class of nonlinear Time Series model referred to as Symmetric Nonlinear State-Space Model (SNSSM) was successfully developed using Kalman filter methodology. Some vital properties of the SNSSM such as optimal Kalman gain and optimal filter state covariance were derived. We finally initialized...

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Bibliographic Details
Main Authors: M. Tasi'u, H.G. Dikko, O.I. Shittu, I.A. Fulatan
Format: Article
Language:English
Published: Elsevier 2020-10-01
Series:Heliyon
Subjects:
Mathematics
Statistics
Time Series analysis
Nonlinear models
State-Space model
Kalman filter
Online Access:http://www.sciencedirect.com/science/article/pii/S2405844020319952

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http://www.sciencedirect.com/science/article/pii/S2405844020319952

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