Evaluation of convergence rate in the central limit theorem for the Kalman filter

Aliev F., Ozbek L.

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, cilt.44, sa.10, ss.1905-1909, 1999 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 44 Sayı: 10
  • Basım Tarihi: 1999
  • Doi Numarası: 10.1109/9.793734
  • Dergi Adı: IEEE TRANSACTIONS ON AUTOMATIC CONTROL
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.1905-1909
  • Anahtar Kelimeler: central limit theorem, convergence rate, Kalman filter, model validity tests, nonparametric tests
  • Ankara Üniversitesi Adresli: Evet

Özet

State space models are used for modeling of many physical and economic processes. An asymptotic distribution theory for the state estimate from a Kalman filter in the absence of the usual Gaussian assumption is presented in [1], They proved the central limit theorem for state estimators when the random terms in the model have arbitrary distribution. In this study, some convergence rates in the central limit theorem are given. These convergence rates are used for the development of a nonparametric test of the validity of the model.