论文信息 - Adaptive Filtering Revisited

Adaptive Filtering Revisited

This paper shows that the adaptive filtering and forecasting techniques proposed by Makridakis and Wheelwright can be viewed as approximations to a more precise filtering method in which the Kalman filter is applied to a dynamic autoregressive model which is a special case of the models of Harrison and Stevens. The correct "learning" or "training factors" are shown to be data-dependent matrices rather than scalar constants.

Robert M. Oliver | R. M. Oliver | Robert F. Nau | R. Nau

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