Fast Filtering and Smoothing for Multivariate State Space Models

This paper gives a new approach to diffuse filtering and smoothing for multivariate state space models. The standard approach treats the observations as vectors while our approach treats each element of the observational vector individually. This strategy leads to computationally efficient methods for multivariate filtering and smoothing. Also, the treatment of the diffuse initial state vector in multivariate models is much simpler than existing methods. The paper presents details of relevant algorithms for filtering, prediction and smoothing. Proofs are provided. Three examples of multivariate models in statistics and economics are presented for which the new approach is particularly relevant.Diffuse initialisation;Kalman filter;multivariate models;smoothing;state space;time series

The Application of Feedback in Measurement

Instrument errors, error reduction, and elements of measurements for measurement systems with feedback instrumentatio

Rough analysis of installation effects on turboprop noise

A rough analysis of noise from a propeller operated at angle of attack, and in the nonuniform flow due to a line vortex approximating a wing flow field suggests installation can significantly affect turboprop noise levels. On one side of the propeller, where the blades approach the horizontal plane from above, decreases of noise occur; while on the other side noise increases. The noise reduction is due to negative interference of steady and unsteady sources. An angle of attack, or distance between propeller and vortex, exists for which noise is a minimum

Weak convergence of the sample distribution function when parameters are estimated

The weak convergence of the sample df is studied under a given sequence of alternative hypotheses when parameters are estimated from the data. For a general class of estimators it is shown that the sample df, when normalised, converges weakly to a specified normal process. The results are specialised to the case of efficient estimation

Capacitive pressure transducer system

Closed loop capacitive pressure transducer with extended frequency response for very low pressure measurement