Fast filtering and smoothing for multivariate state space models

Journal of Time Series Analysis

Volumn 21, Issue 3, 2000, Pages 281-296

  Koopman, S J ^a   Durbin, J ^b  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Diffuse initialization; Kalman filter; Multivariate models; Smoothing; State space; Time series; Vector cubic splines

Indexed keywords

EID: 0008617716     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00186     Document Type: Article

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