Forecasting With the Standardized Self‐Perturbed Kalman Filter
使用标准化自扰动卡尔曼滤波器进行预测
Summary We propose and study the finite‐sample properties of a modified version of the self‐perturbed Kalman filter of Park and Jun ( Electronics Letters 1992; 28 : 558–559) for the online estimation of models subject to parameter instability. The perturbation term in the updating equation of the state covariance matrix is weighted by the estimate of the measurement error variance. This avoids the calibration of a design parameter as the perturbation term is scaled by the…