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The Kalman filter model under the assumption of the first-order autoregressive process in the disturbance terms

โœ Scribed by Hisashi Tanizaki


Book ID
116100772
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
259 KB
Volume
31
Category
Article
ISSN
0165-1765

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A closed-form expression for the exponential rate of an estimator in the Gaussian AR(1) process is obtained. This shows that the exponential rates of several famous estimators are all identical. Further it is shown that mean-correction does not affect the large deviation asymptotics. (~