The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
type: Item
instance of: scholarly article
title: The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother
zbMATH Open document ID: 0822.62080
DOI: 10.1007/BF00773470
published in: Annals of the Institute of Statistical Mathematics
publication date: 1995-10-18T00:00:00Z
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 786355
zbMATH Keywords: non-Gaussian filter
zbMATH Keywords: Gaussian mixture
zbMATH Keywords: outliers
zbMATH Keywords: Gaussian-sum smoother
zbMATH Keywords: two filter formula
zbMATH Keywords: non-Gaussian state space modeling
zbMATH Keywords: times series
zbMATH Keywords: non- Gaussian smoother
zbMATH Keywords: seasonal adjustment of economic time series
author: Genshiro Kitagawa
MaRDI profile type: Publication
cites work: Nonlinear Bayesian estimation using Gaussian sum approximations
cites work: Q3993534
cites work: Q4120006
cites work: Non-Gaussian State-Space Modeling of Nonstationary Time Series
cites work: Non-Gaussian seasonal adjustment
cites work: Recursive Bayesian estimation using Gaussian sums
cites work: Bayesian forecasting and dynamic models
description: scientific article; zbMATH DE number 786355