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STABLE ALGORITHMS FOR THE STATE SPACE MODEL

✍ Scribed by Piet De Jong


Book ID
111039641
Publisher
John Wiley and Sons
Year
1991
Tongue
English
Weight
746 KB
Volume
12
Category
Article
ISSN
0143-9782

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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