Filtering and smoothing of state vector for diffuse state-space models

Journal of Time Series Analysis

Volumn 24, Issue 1, 2003, Pages 85-98

  Koopman, S J ^a   Durbin, J ^b  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

^b NONE

Author keywords

Diffuse initialization; Kalman filter; Smoothing; State space

Indexed keywords

EID: 0141907794     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00294     Document Type: Article

References (14)

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