Bootstrapping the Kalman Filter

Autor:	D S Stoffer
Rok vydání:	1984
Předmět:	Statistics::Theory Gaussian Kalman filter Invariant extended Kalman filter Extended Kalman filter symbols.namesake Bootstrapping (electronics) Robustness (computer science) Statistics symbols Statistics::Methodology Ensemble Kalman filter Algorithm Alpha beta filter Mathematics
DOI:	10.21236/ada150509
Popis:	The bootstrap is proposed as a method for estimating the precision of forecasts and estimates of parameters of the Kalman Filter model. It is shown that when the system and the filter is in steady state the bootstrap applied to the Gaussian innovations yields asymptotically consistent standard errors. That the bootstrap works well with moderate sample sizes and supplies robustness against departures from normality is substantiated by empirical evidence. Keywords: Bootstrap; Kalman filter; Forecasting; and Robustness.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5afd1dd9ea2ce7af0529f395137aa063 https://doi.org/10.21236/ada150509 Zobrazit plný text záznamu