摘要:

AbstractThe purpose of this paper is to give an exposition of the theory behind the Kalman filter and its application to the so‐called LQG‐problem. This problem is concerned with the stochastic optimal control of a linear system with respect to a quadratic cost in the presence Gaussian disturban

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1978.tb01382.x

出版商:Blackwell Publishing Ltd    

年代:1978

数据来源: WILEY

摘要:

AbstractIn this paper we show how the Kalman filter, which is a recursive estimation procedure, can be applied to the standard linear regression model. The resulting “Kalman estimator” is compared with the classical least‐squares estimator.The applicability and (dis)advantages of the filter are illustrated by means of a case study which consists of two parts. In the first part we apply the filter to a regression model with constant parameters and in the second part the filter is applied to a regression model with time‐varying stochastic parameters. The prediction‐powers of various “Kalman predictors” are compared with “least‐squares predictors” by using Theil‘s predicti

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1978.tb01383.x

出版商:Blackwell Publishing Ltd    

年代:1978

数据来源: WILEY

摘要:

AbstractDuring the past decade a number of authors have proposed an extension to the basic Bradley‐Terry model for estimation from the results of paired comparison experiments.The extension was either meant to accommodate ties in the individual comparisons or to estimate the effect of the order of presentation of the objects in these comparisons and, if necessary, to correct for the bias which may result from this effect. All the extensions have in common that, in order to achieve the objective, one or more parameters are added to the basic model. In this paper a class of extensions is presented of which the ones already published may be considered special cases. Some of the extensions from this class are compared and evaluated using a numerical exampl

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1978.tb01384.x

出版商:Blackwell Publishing Ltd    

年代:1978

数据来源: WILEY

ISSN:0039-0402    

DOI:10.1111/j.1467-9574.1978.tb01385.x

出版商:Blackwell Publishing Ltd    

年代:1978

数据来源: WILEY