A synopsis of the smoothing formulae associated with the Kalman filter

DOI10.1007/BF01299174zbMath0789.62075MaRDI QIDQ1316424

H. R. Merkus, Aart F. de Vos, D. Stephen G. Pollock

Publication date: 14 March 1994

Published in: Computational Economics (Search for Journal in Brave)

zbMATH Keywords

Kalman filterstate space modelsconditional expectationsforward-backward algorithmsmoothing formulae

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items

Recursive estimation in econometrics ⋮ A two-stage filter for smoothing multivariate noisy data on unstructured grids

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