KALMAN FILTERS AND ARMA MODELS

Abstract

The Kalman filter is the celebrated algorithm giving a recursive solution of the prediction problem for time series. After a quite general formulation of the prediction problem, the contributions of its solution by the great mathematicians Kolmogorov and Wiener are shorthly recalled and it is showed as Kalman filter furnishes the optimal predictor, in the sense of least squares, for processes which satisfy the linear models with a finite number of parameters, that are the ARMA models.