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Monte Carlo Kalman Filter and Smoothing for Multivariate Discrete State Space Models

✍ Scribed by Peter Xue-Kun Song


Book ID
111850980
Publisher
John Wiley and Sons
Year
2000
Tongue
French
Weight
635 KB
Volume
28
Category
Article
ISSN
0319-5724

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Filtering and smoothing algorithms for s
✍ R. Kohn; C.F. Ansley 📂 Article 📅 1989 🏛 Elsevier Science 🌐 English ⚖ 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