Fast Filtering and Smoothing for Multivariate State Space Models

DOI10.1111/1467-9892.00186zbMath0959.62081OpenAlexW2104676247MaRDI QIDQ62653

J. Durbin, S. J. Koopman, J. Durbin, Siem Jan Koopman

Publication date: May 2000

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

Full work available at URL: https://pure.uvt.nl/portal/en/publications/fast-filtering-and-smoothing-for-multivariate-state-space-models(3ca0d14b-21ad-427f-8631-efb16eb47081).html

zbMATH Keywords

Kalman filterfast algorithmmultivariate state space modelsvector spline smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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