Adaptive Filtering Revisited |
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Authors: | Robert F Nau Robert M Oliver |
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Institution: | 1.Operations Research Center, University of California,Berkeley;2.Department of Industrial Engineering and Operations Research,University of California,Berkeley |
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Abstract: | This paper shows that the adaptive filtering and forecasting techniques proposed by Makridakis and Wheelwright can be viewed as approximations to a more precise filtering method in which the Kalman filter is applied to a dynamic autoregressive model which is a special case of the models of Harrison and Stevens. The correct "learning" or "training factors" are shown to be data-dependent matrices rather than scalar constants. |
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