SMOOTHING WITH AN UNKNOWN INITIAL CONDITION
DOI10.1111/1467-9892.00298zbMATH Open1112.62106OpenAlexW1982037340MaRDI QIDQ3440779FDOQ3440779
Authors: Piet de Jong, Singfat Chu-Chun-Lin 
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00298
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Cites Work
Cited In (9)
- Estimability of the linear effects in state space models with an unknown initial condition
- A new state-space methodology to disaggregate multivariate time series
- Extensions to the invariance property of maximum likelihood estimation for affine-transformed state-space models
- Smoothing estimation of stochastic processes: Change of initial condition formulas
- Recursive estimation in econometrics
- Diffuse Kalman filtering with linear constraints on the state parameters
- Computing the mean square error of unobserved components extracted by misspecified time series models
- Diffuse Restricted Kalman Filtering
- Restricted Kalman filter applied to dynamic style analysis of actuarial funds
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