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政大機構典藏 > 商學院 > 統計學系 > 國科會研究計畫 > Item 140.119/85783

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85783

Title:	動態系統的貝氏分析
Other Titles:	Bayesian Inference for Some Dynamic Systems
Authors:	翁久幸
Contributors:	統計學系
Keywords:	貝氏分析;動態系統;卡爾曼渡波;Woodroofe-Stein等式 Bayesian inference;dynamic systems;Kalman filter;Woodroofe-Stein`s identity 貝氏分析;動態系統;卡爾曼濾波;Woodroofe-Stein 等式;Bayesian inference;dynamic systems;Kalman filter;Woodroofe-Stein"s identity
Date:	2013
Issue Date:	2016-04-20 16:52:26 (UTC+8)
Abstract:	在過去數年，我們已經相當程度探索Woodroofe-Stein 等式及其在序貫分析和貝式統計之應用。本計畫著重在動態模型之應用及其與卡爾曼fileter 之關聯。我們得到一種新的方法來推導卡爾曼增益(Kalman gain)。本計畫之副產品是將目前Woodroofe-Stein 等式進一步推展，得到多元的Gram- Charlier 級數。 In the past years we have explored Woodroofe-Stein"s identity and its applications to sequential analysis and Bayesian statistics. This project focused on its application to dynamic models and relation to Kalman fileter. We provide a new approach to obtain the Kalman gain. A by-product of this project is to take the present Woodroofe-Stein"s identity one step further to obtain the multivariate Gram-Charlier series.
Relation:	計畫編號 NSC 102-2118-M004-003-MY2
Data Type:	report
Appears in Collections:	[統計學系] 國科會研究計畫

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