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Smoothing and Interpolation with the State-Space Model

✍ Scribed by Piet de Jong


Book ID
125224079
Publisher
American Statistical Association
Year
1989
Tongue
English
Weight
764 KB
Volume
84
Category
Article
ISSN
0162-1459

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Filtering and smoothing algorithms for s
✍ R. Kohn; C.F. Ansley πŸ“‚ Article πŸ“… 1989 πŸ› Elsevier Science 🌐 English βš– 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