Kalman filter for singular and conditional state-space models when the system state and the observational error are correlated

DOI10.1016/0167-7152(94)00081-IzbMath0813.62085MaRDI QIDQ1347198

Fabio H. Nieto, Victor M. Guerrero

Publication date: 6 June 1995

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

minimum mean square errorKalman filter equationsdisturbance probability distributionsrecursive linear estimationsingular and conditional state-space modelstemporal disaggregation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (5)

On the Kalman filter with possibly degenerate and correlated errors ⋮ Inclusion and exclusion of data or parameters in the general linear model ⋮ Temporal disaggregation and restricted forecasting of multiple population time series ⋮ Temporal and contemporaneous disaggregation of multiple economic time series ⋮ A note on linear combination of predictors

Cites Work

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• Estimation, control, and the discrete Kalman filter
• Bayesian forecasting and dynamic models
• Stochastic processes and filtering theory
• Temporal Disaggregation of Time Series: An ARIMA-Based Approach
• Fixed interval estimation in state space models when some of the data are missing or aggregated
• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis

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