Disturbance smoother for state space models (Q4695181)
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scientific article; zbMATH DE number 203405
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Disturbance smoother for state space models |
scientific article; zbMATH DE number 203405 |
Statements
Disturbance smoother for state space models (English)
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21 July 1993
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time series
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Kalman filter
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state smoother
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smoothed estimator
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state space model
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mean squared error matrix
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disturbance smoother
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efficient smoother
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auxiliary residuals
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unobserved components time series models
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EM algorithm
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estimating covariance parameters
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