The diffuse Kalman filter
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Publication:1175397
DOI10.1214/AOS/1176348139zbMath0742.62093OpenAlexW1975138225MaRDI QIDQ1175397
Publication date: 25 June 1992
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176348139
smoothingstate estimationstate space modelsnonstationarityarbitrarily large covariance matrixdiffuse predictiondiffuse smoothingdiffuse statelikelihood evaluationminimum mean square estimationmodified form of the Kalman filter
Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)
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