COVARIANCES FOR FIXED INTERVAL SMOOTHED KALMAN FILTER PARAMETER ESTIMATES

DOI10.1111/J.1467-842X.1990.TB01013.XzbMATH Open0713.62091OpenAlexW2089635810MaRDI QIDQ3198757FDOQ3198757

S. J. Haslett

Publication date: 1990

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.1990.tb01013.x

Recommendations

• Covariances for smoothed estimates in state space models
• Fixed interval estimation in state space models when some of the data are missing or aggregated
• A synopsis of the smoothing formulae associated with the Kalman filter
• Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
• scientific article; zbMATH DE number 3878206

zbMATH Keywords

EM-algorithmtime series dataexpectation-maximisationconditional covariancesexact maximum likelihood parameter estimates for ARMA processesfixed interval best linear unbiased estimatesKalman filter fixed interval smoothing equationsnon-autocorrelated innovations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cited In (2)

• Covariances for smoothed estimates in state space models
• Testing the covariance matrix of a renovating sequence under operating control of the Kalman filter

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