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

DOI10.1016/J.ECONLET.2018.03.037zbMATH Open1397.93205OpenAlexW2804229478WikidataQ130021879 ScholiaQ130021879MaRDI QIDQ1787601FDOQ1787601

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• A simple and efficient simulation smoother for state space time series analysis
• Modeling data revisions: measurement error and dynamics of ``true values
• Time series analysis by state space methods.
• Smoothing and Interpolation with the State-Space Model
• Disturbance smoother for state space models
• A low dimensional Kalman filter for systems with lagged states in the measurement equation
• A fast algorithm for signal extraction, influence and cross-validation in state space models
• A cross-validation filter for time series models

This page was built for publication: A note on low-dimensional Kalman smoothers for systems with lagged states in the measurement equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1787601)