M7a | State-Space Models (Theory) | CIV6540E
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M7a | State-Space Models (Theory) | CIV6540E
This video presents the theory behind state-space models for analyzing time series. Breaks down the formulation for the Kalman filter (KF), Kalman smoother, and Switching KF through illustrative examples. Presenter: James-A. Goulet (https://www.polymtl.ca/cgm/jagoulet/Site/Goulet_web_page_MAIN.html) Reference: Goulet, J.-A. (2020 ...
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