Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions

DOI10.1214/AOS/1176349739zbMath0586.62154OpenAlexW2016115088MaRDI QIDQ1071457

Craig F. Ansley, Robert Kohn

Publication date: 1985

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176349739

zbMATH Keywords

likelihoodsmoothing splinesKalman filtermissing observationscontinuous time modelssmoothing algorithmspredictorsstate space modelcontinuous time autoregressive processesdiffuse initial conditionsdiffuse priorexact numerical proceduresincompletely specified initial conditionsinterpolators

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) Signal detection and filtering (aspects of stochastic processes) (60G35)

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