Computational aspects of kalman filtering with a diffuse prior distribution*

DOI10.1080/00949658808811051zbMath0726.62158OpenAlexW2146027702MaRDI QIDQ3350590

Ralph D. Snyder

Publication date: 1988

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658808811051

zbMATH Keywords

Kalman filterdiffuse prior

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

Related Items

FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS ⋮ Recursive estimation in econometrics ⋮ INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS

Cites Work

• Estimation, filtering, and smoothing in state space models with incompletely specified initial conditions
• Stochastic processes and filtering theory
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Least Squares Computations by Givens Transformations Without Square Roots