Fast same-step forecast in SUTSE model and its theoretical properties

DOI10.1016/j.csda.2023.107861arXiv2210.09578MaRDI QIDQ6071719

Kei Hirose, Wataru Yoshida

Publication date: 28 November 2023

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.09578

zbMATH Keywords

Kalman filterstate-space modelSUTSE modellimiting Kalman filter

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

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• Controllability and Observability in Multivariable Control Systems
• Temporal disaggregation using multivariate structural time series models
• Kalman Filtering

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