A geometrical derivation of the fixed interval smoothing algorithm

DOI10.1093/BIOMET/69.2.486MaRDI QIDQ3958369zbMATH OpenOpenAlexFDO

Authors Craig F. Ansley, Robert Kohn

Publication date 1982

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/69.2.486

zbMATH Keywords

fixed interval smoothingKalman filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Cited in

(14)

• Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
• A synopsis of the smoothing formulae associated with the Kalman filter
• Consumption and the credit market
• Generalized Kalman smoothing: modeling and algorithms
• Derivation of fixed interval smoothing formulas
• Conditional forecasts on SVAR models using the Kalman filter
• Fast robust methods for singular state-space models
• A direct derivation of the interpolation smoother
• Estimating Instantaneous Irregularity of Neuronal Firing
• Analytical uses of Kalman filtering in econometrics — A survey
• Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
• A characterization of the time-rescaled gamma process as a model for spike trains
• Dynamic hierarchical state space forecasting
• Recursive estimation in econometrics

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