The application of the continuous state space model to unequally spaced sequence data is discussed and illustrated. The continuous model implies a discrete model for the observed data. Practical expressions for relevant discrete model quantities are given. These quantites are required for the digital processing of the data and in particular for the application of the Kalman and smoothing filter and related calculations. Applications illustrate the procedures.
|Number of pages||19|
|Journal||Statistical Inference for Stochastic Processes|
|Publication status||Published - 2001|
- Kalman filter
- state space model