Go to Statistics Portal

KALMAN FILTER

Statistics Directorate    
French Equivalent: Filtre de Kalman

Definition:
An iterative technique of dynamic linear modelling, used mainly for estimating the parameters of autoregressive moving-average time series models with Gaussian residuals.

Source Publication:
A Dictionary of Statistical Terms, 5th edition, prepared for the International Statistical Institute by F.H.C. Marriott. Published for the International Statistical Institute by Longman Scientific and Technical.

Statistical Theme: Methodological information (metadata)

Created on Tuesday, May 21, 2002

Last updated on Thursday, February 26, 2004