Covariances for smoothed estimates in state space models
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Publication:3796595
DOI10.1093/biomet/75.3.601zbMath0651.62088MaRDI QIDQ3796595
Piet de Jong, Murray J. MacKinnon
Publication date: 1988
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/75.3.601
smoothing; Kalman filter; state space models; fixed interval smoothing algorithm; recursive formula for covariance matrices; smoothed estimates
62M20: Inference from stochastic processes and prediction
93E11: Filtering in stochastic control theory
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