Disturbance smoother for state space models
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Publication:4695181
DOI10.1093/biomet/80.1.117zbMath0769.62069OpenAlexW2032666264MaRDI QIDQ4695181
Publication date: 21 July 1993
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/80.1.117
EM algorithmtime seriesKalman filterstate space modelmean squared error matrixauxiliary residualsunobserved components time series modelsdisturbance smoothersmoothed estimatorefficient smootherestimating covariance parametersstate smoother
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