3rd course in the Applied Kalman Filtering. Instructor: Greg Plett, PhD, Professor As a follow-on course to "Linear Kalman Filter Deep Dive", this course derives the steps of the extended Kalman ...

Explain the purpose of each step in the sequential-probabilistic-inference solution. Execute provided Octave/MATLAB script for a linear Kalman filter and evaluate results. Execute provided ...

Angelos Dassios, Ji-Wook Jang, Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts, Journal of ...

Originally developed for linear systems, the classical Kalman filter has been extended to accommodate nonlinearities inherent in many practical applications, through the use of techniques such as ...

One distinction between a conventional linear Kalman filter and EnKF is that the latter uses “a Monte-Carlo implementation on a nonlinear model where each state is represented as a Gaussian ...

Ludwig Fahrmeir, Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models, Journal of the American Statistical Association, Vol. 87, No. 418 (Jun., ...