Construct an ARMA Model with Exogenous Variables and Use Kalman Filter to Adjust the Prediction of the Model
碩士 === 國立政治大學 === 應用數學系 === 108 === Motivation: Kalman Filter is an algorithm which can update the estimate with adding current information. Due to computing conveniently, the filter has been broadly applied in various type of time series data. Kalman Filter can also applied in data identified by AR...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/e82wsf |