Kalaba, Robert E.; Tesfatsion, Leigh

Information Sciences Vol. 57-58 (September 1991): 159-171.

Discrepancies between assumed dynamical models and observations are often handled by making further probabilistic assumptions, a tactic which has both strengths and weaknesses. A re-examination of filtering and smoothing is conducted, and an alternative multicriteria Flexible Least Squares (FLS) approach is advanced that does not require a probabilistic interpretation for discrepancy terms. This approach involves vector minimization as a key ingredient, and it specializes to the well-known Kalman, Viterbi, Larson-Peschon, and Swerling filters.

Annotated pointers to related work can be accessed at http://www.econ.iastate.edu/tesfatsi/flshome.htm

JEL Classification: C1, C3, C5