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Fast Filtering and Smoothing for Multivariate State Space Models

โœ Scribed by S. J. Koopman; J. Durbin


Book ID
108549421
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
221 KB
Volume
21
Category
Article
ISSN
0143-9782

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๐Ÿ“œ SIMILAR VOLUMES


Filtering and smoothing algorithms for s
โœ R. Kohn; C.F. Ansley ๐Ÿ“‚ Article ๐Ÿ“… 1989 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 790 KB

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