Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 31st ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Nov. 1999, Yokohama)
Generalized Kalman Filter When Exogenous Variables Exist
Akira Yagi, Ritei Shibata, Takeshi Kato
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2000 Volume 2000 Pages 259-263

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Abstract
A generalized Kalman filter is proposed, which can be applied to any state space model with exogenous variables or inputs.
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© 2000 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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