This is a study of generating time series/stochastic processes. The estimators for the parameters lead straight up to Kalman filters. The state space models are taken from the Kalman setup. This was the first time I understood how Kalman filters come about. Its really a three step process:
http://heinrichhartmann.com/blog/2014/12/11/Generative-Model...
This is a study of generating time series/stochastic processes. The estimators for the parameters lead straight up to Kalman filters. The state space models are taken from the Kalman setup. This was the first time I understood how Kalman filters come about. Its really a three step process:
1. Stationary processes --> Classical parameter estimation.
2. Discrete state space --> Markov models
3. Continues state space --> Kalman filters.