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Thiele: Pioneer in Statistics$
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Steffen L. Lauritzen

Print publication date: 2002

Print ISBN-13: 9780198509721

Published to Oxford Scholarship Online: September 2007

DOI: 10.1093/acprof:oso/9780198509721.001.0001

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On the application of the method of least squares to some cases, in which a combination of certain types of inhomogeneous random sources of errors gives these a ‘systematic’ character

On the application of the method of least squares to some cases, in which a combination of certain types of inhomogeneous random sources of errors gives these a ‘systematic’ character

Chapter:
(p.7) CHAPTER TWO On the application of the method of least squares to some cases, in which a combination of certain types of inhomogeneous random sources of errors gives these a ‘systematic’ character
Source:
Thiele: Pioneer in Statistics
Author(s):

T. N. Thiele

, S. L. Lauritzen
Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780198509721.003.0002

This chapter presents Thiele's first paper on the method of least squares. This paper was so far ahead of its time that only a few appreciated the results. Thiele's recursive algorithm developed in this paper served as an important source of inspiration for Lauritzen and Spiegelhalter (1988). His geometric construction of the Kalman filter is described as a novelty.

Keywords:   method of least squares, Kalman filter, recursive algorithm, Lauritzen, Spiegelhalter

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