Covariances for smoothed estimates in state space models

DOI10.1093/biomet/75.3.601zbMath0651.62088OpenAlexW2069037334MaRDI QIDQ3796595

Piet de Jong, Murray J. MacKinnon

Publication date: 1988

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/75.3.601

zbMATH Keywords

smoothingKalman filterstate space modelsfixed interval smoothing algorithmrecursive formula for covariance matricessmoothed estimates

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Related Items (7)

Outlier detection in the state space model ⋮ Estimating a State-Space Model from Point Process Observations ⋮ Reml and best linear unbiased prediction in state space models ⋮ Estimating Instantaneous Irregularity of Neuronal Firing ⋮ MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION ⋮ Unnamed Item ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

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