We have been discussing Time Series features mainly in Forecasting and Outter Detection. There is another area of Time Series that is Filtering. Filters are used to estimate the state of a linear system where the state is assumed to be distributed by a Gaussian. In 1960, R.E. Kalman published his famous paper describing a recursive solution to the discrete-data linear filtering problem. So, we have extended the cheat sheet with the filtering techniques.
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