A geometrical derivation of the fixed interval smoothing algorithm

DOI10.1093/biomet/69.2.486zbMath0494.93052OpenAlexW2068435183MaRDI QIDQ3958369

Craig F. Ansley, Robert Kohn

Publication date: 1982

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/69.2.486

zbMATH Keywords

Kalman filterfixed interval smoothing

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Related Items (max. 100)

Consumption and the credit market ⋮ A direct derivation of the interpolation smoother ⋮ Derivation of fixed interval smoothing formulas ⋮ Conditional forecasts on SVAR models using the Kalman filter ⋮ Generalized Kalman smoothing: modeling and algorithms ⋮ Estimating Instantaneous Irregularity of Neuronal Firing ⋮ Analytical uses of Kalman filtering in econometrics — A survey ⋮ Recursive estimation in econometrics ⋮ Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method ⋮ Fast robust methods for singular state-space models ⋮ Unnamed Item ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models ⋮ A synopsis of the smoothing formulae associated with the Kalman filter

This page was built for publication: A geometrical derivation of the fixed interval smoothing algorithm