FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS (Q3203895)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS |
scientific article |
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FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS (English)
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1990
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ARIMA model
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likelihood
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signal extraction
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Kalman filter
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state space models with partially diffuse initial conditions
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marginal likelihood
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filtering algorithm
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smoothing algorithm
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