Tag Archives: State-space model

A Summary of State-space Models

Author: Changyue Song

Editor: Changyue Song

1. Bayesian Filter

In this article, I summarize some famous state-space models. Here I won’t go into details but focus on the entire map to get an overview. All these state-space models originate from Bayesian filter. In these models, two stochastic processes are considered. The first process is states $x_t$, and the second process is observations or measurements $y_t$, where $t$ means “time” but generally the processes are not restricted to time series. We are interested in the true value of states, but we can only observe the value of observations. Therefore, state-space models aim to estimate states based on observations.… Read more