Adaptive and robust experimental design for linear dynamical models using Kalman filter
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DOI: 10.1007/s00362-023-01438-9
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- Elizabeth G. Ryan & Christopher C. Drovandi & James M. McGree & Anthony N. Pettitt, 2016. "A Review of Modern Computational Algorithms for Bayesian Optimal Design," International Statistical Review, International Statistical Institute, vol. 84(1), pages 128-154, April.
- Jian He & Asma Khedher & Peter Spreij, 2021. "A Kalman particle filter for online parameter estimation with applications to affine models," Statistical Inference for Stochastic Processes, Springer, vol. 24(2), pages 353-403, July.
- Cavanaugh, Joseph E. & Shumway, Robert H., 1996. "On computing the expected Fisher information matrix for state-space model parameters," Statistics & Probability Letters, Elsevier, vol. 26(4), pages 347-355, March.
- Rong Chen & Jun S. Liu, 2000. "Mixture Kalman filters," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(3), pages 493-508.
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- Andrea Beccarini, 2024. "Testing omitted variables in VARs," Statistical Papers, Springer, vol. 65(5), pages 3093-3109, July.
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Keywords
Optimal experimental design; Bayesian experimental design; Adaptive experimental design; Dynamical system; Kalman filter;All these keywords.
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