Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure (Q5430504)
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scientific article; zbMATH DE number 5220241
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| English | Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure |
scientific article; zbMATH DE number 5220241 |
Statements
Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure (English)
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16 December 2007
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Kalman filter
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linear projections
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nonstationarity
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0.7766184210777283
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0.7755003571510315
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0.7671058177947998
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