KALMAN FILTERS AND ARMA MODELS

Aniello Fedullo

Abstract


The Kalman filter is the celebrated algorithm giving a recursive solution of the prediction problem for time series. After a quite general formulation of the prediction problem, the contributions of its solution by the great mathematicians Kolmogorov and Wiener are shorthly recalled and it is showed as Kalman filter furnishes the optimal predictor, in the sense of least squares, for processes which satisfy the linear models with a finite number of parameters, that are the ARMA models.


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References


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Ratio Mathematica - Journal of Mathematics, Statistics, and Applications. ISSN 1592-7415; e-ISSN 2282-8214.