Kalman Filter
Lecture Notes
Lecture Notes
References
References
[Ham] Hamilton, Ch. 13
[WesHar97] West, M. and Harrison, P. J. (1997). Bayesian Forecasting and Dynamic Models, Springer-Verlag.
[Ham] Hamilton, Ch. 13
[WesHar97] West, M. and Harrison, P. J. (1997). Bayesian Forecasting and Dynamic Models, Springer-Verlag.