Wiener–Kolmogorov Filtering and Smoothing for Multivariate Series With State–Space Structure
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Publication:5430504
DOI10.1111/j.1467-9892.2006.00514.xzbMath1164.62387OpenAlexW2121843483MaRDI QIDQ5430504
Publication date: 16 December 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00514.x
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Cites Work
- Computing observation weights for signal extraction and filtering
- Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
- Riccati equations in optimal filtering of nonstabilizable systems having singular state transition matrices
- General matrix pencil techniques for the solution of algebraic Riccati equations: a unified approach
- Computation of asymmetric signal extraction filters and mean squared error for ARIMA component models
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