Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
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Publication:1071457
DOI10.1214/aos/1176349739zbMath0586.62154OpenAlexW2016115088MaRDI QIDQ1071457
Publication date: 1985
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176349739
likelihoodsmoothing splinesKalman filtermissing observationscontinuous time modelssmoothing algorithmspredictorsstate space modelcontinuous time autoregressive processesdiffuse initial conditionsdiffuse priorexact numerical proceduresincompletely specified initial conditionsinterpolators
Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) Signal detection and filtering (aspects of stochastic processes) (60G35)
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