p********0
发帖数: 186 | 1 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? | e********e
发帖数: 35 | 2 I guess depends on your data, whether gaussian or not, linear or not. But
seemed that the methods you listed all suit for linear and gaussian cases. I
am not an expert,though//run. |
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