Filtering and smoothing algorithms for state space models (Q909400): Difference between revisions

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+https://doi.org/10.1016/0898-1221(89)90104-1
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+W2054807700
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+Covariance matrix computation of the state variable of a stationary Gaussian process
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+Q4010408
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+Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
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+Efficient generalized cross-validation for state space models
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+Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
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+A cross-validation filter for time series models
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+Fixed interval estimation in state space models when some of the data are missing or aggregated
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+Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
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+A New Algorithm for Spline Smoothing Based on Smoothing a Stochastic Process
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+Signal extraction for finite nonstationary time series
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+A fast algorithm for signal extraction, influence and cross-validation in state space models
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+Evaluation of likelihood functions for Gaussian signals
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