Kalman filter for singular and conditional state-space models when the system state and the observational error are correlated

DOI10.1016/0167-7152(94)00081-IzbMath0813.62085MaRDI QIDQ1347198

Fabio H. Nieto, Victor M. Guerrero

Publication date: 6 June 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

minimum mean square error; Kalman filter equations; disturbance probability distributions; recursive linear estimation; singular and conditional state-space models; temporal disaggregation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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