A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation

DOI10.1016/J.ECONLET.2018.03.037MaRDI QIDQ1787601zbMATH OpenOpenAlexWikidataFDO

Authors Malte S. Kurz

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2018.03.037

zbMATH Keywords

Kalman filterKalman smootherlagged states

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A cross-validation filter for time series models
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• A low dimensional Kalman filter for systems with lagged states in the measurement equation
• A simple and efficient simulation smoother for state space time series analysis
• Disturbance smoother for state space models
• Modeling data revisions: measurement error and dynamics of ``true values
• Smoothing and Interpolation with the State-Space Model
• Time series analysis by state space methods.

Cited in

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• A low dimensional Kalman filter for systems with lagged states in the measurement equation

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