Journal of Korean Society of Industrial and Systems Engineering (산업경영시스템학회지)
- Volume 16 Issue 28
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- Pages.31-37
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- 1993
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- 2005-0461(pISSN)
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- 2287-7975(eISSN)
A Study on the Kalman Filter ; AR Model
자기회귀 모형에 대한 Kalman Filter 적용에 관한 연구
Abstract
Box-Jenkins models have some important limitations to the procedure : (a) They require a great deal of time, efforts and expertise for the model identification. (b) They require an extensive amount of past observations to identify an acceptable model. (c) The model selected is a constant model in time. Therefore, the Kalman Filter is recommended as a technique to overcome the three problems mentioned above. The research reported here uses the Kalman Filter algorithm to propose Kalman-AR(p) model. The data analysis shows that the Kalman-AR(p) model proposed can be used to resolve the problems of Box-Jenkins AR(p)model. It is seen that the Kalman Filter has great potentials for real-time industrial applications.
Keywords