Filtering and smoothing of state vector for diffuse state-space models

DOI10.1111/1467-9892.00294zbMath1023.62096OpenAlexW3125943827MaRDI QIDQ4431629

Siem Jan Koopman, J. Durbin

Publication date: 22 October 2003

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00294

zbMATH Keywords

smoothingKalman filterdiffuse initialization

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from spatial processes (62M30)

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Cites Work

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