𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Smoothing algorithms for state–space models

✍ Scribed by Mark Briers; Arnaud Doucet; Simon Maskell

Publisher
Springer Japan
Year
2009
Tongue
English
Weight
440 KB
Volume
62
Category
Article
ISSN
0020-3157

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Filtering and smoothing algorithms for s
Filtering and smoothing algorithms for state space models
✍ 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

Prediction intervals for exponential smo
Prediction intervals for exponential smoothing using two new classes of state space models
✍ Rob J. Hyndman; Anne B. Koehler; J. Keith Ord; Ralph D. Snyder 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 165 KB 👁 1 views

Three general classes of state space models are presented, using the single source of error formulation. The first class is the standard linear model with homoscedastic errors, the second retains the linear structure but incorporates a dynamic form of heteroscedasticity, and the third allows for non