Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors

DOI10.1080/03610928508829086zbMath0595.62096MaRDI QIDQ3727192

Heikki Ruskeepaa

Publication date: 1985

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928508829086

zbMATH Keywords

Kalman filter; engineering; econometrics; normal correlation; stochastic regressors; conditionally Gaussian distributions; deterministic regressors; Gaussian discrete-time, dynamic linear models; lagged observations

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

60G15: Gaussian processes

93E11: Filtering in stochastic control theory

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Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method, A nonlinear time series model and estimation of missing observations, Generalized dynamic linear models for financial time series

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