Filtering and smoothing algorithms for s
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R. Kohn; C.F. Ansley
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Article
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1989
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Elsevier Science
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English
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The paper reviews and generalizes recent filtering and smoothing algorithms for observations generated by a state model. In particular the paper discusses the modified Kalman filter derived by Ansley and Kohn (1985) and Kohn and Ansley (1986) to deal with state space models having partially diffuse