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Formulas for fitting the parameters of a linear dynamical system
Using the expectation-maximization algorithm one can fit all the parameters of a linear dynamical system. I know the theory behind it, and I know how to derive the updated parameters from the Kalman ...
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Concerning the reparametrization of the ARDL
I want to transform an autoregressive distributed lag (ARDL) to a long-run equation (reparametrization of the (ARDL).
How could I do that?
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Outlier and structural break detection in dynamic linear models [closed]
Is there a non bayesian method of finding outliers and structural breaks using the pakcage 'dlm'?
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Learning a mapping from one time series to another with a Kalman Filter
I am interested in finding the relation between two (possibly multi dimensional) time series $x_{1:T}$ and $y_{1:T}$. I wonder how I can do that with a linear dynamical system/Kalman filter.
My ...
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Assumption of Gaussian distribution of acceleration
I have a data set consisting of noisy position values of a trajectory of a human hand. I want to estimate a generative model of these trajectories, and the obvious choice is a Kalman Filter/linear ...
