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 language | English |
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Pages (from-to) | 85-98 |
Number of pages | 13 |
Journal | Journal of Time Series Analysis |
Volume | 24 |
DOIs | |
Publication status | Published - 2003 |