b********y
发帖数: 3507 | 1 It's easy to kill yourself. But what if you want to resurvive? |
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p********0
发帖数: 186 | 2 Ding,
I may not be clear about my question, let me rephrase it.
For time series data, state space model, if the parameter is not static,
change over time
X_t = F_t * X_t-1 + R.
Y_t = H_t * X_t
What's the best way for finding the online parameter?
I found resurve Least Sqaure Error/Gaussian Newton method/Kalman filter all
can be used to do the online parameter estimate, what's the best method?
Anyone has experience?
[x |
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p********0
发帖数: 186 | 3 Hi,
For time series data, state space model, if the parameter is not static,
change over time
X_t = F_t * X_t-1 + R.
Y_t = H_t * X_t
What's the way for finding the online parameter?
I found resurve Least Sqaure Error/Gaussian Newton method/Kalman filter all
can be used to do the online parameter estimate, what's the best method?
Anyone has experience? |
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