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