Filtering and smoothing of stae vector for diffuse state space models

S.J. Koopman, J. Durbin

Research output: Contribution to JournalArticleAcademic

Abstract

This paper presents exact recursions for calculating the mean and mean square error matrix of the state vector given the observations for the multi-variate linear Gaussian state-space model in the case where the initial state vector is (partially) diffuse.
Original languageEnglish
Pages (from-to)85-98
Number of pages13
JournalJournal of Time Series Analysis
Volume24
DOIs
Publication statusPublished - 2003

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