Wiener-kolmogorov filtering and smoothing for multivariate series with state-space structure

Journal of Time Series Analysis

Volumn 28, Issue 3, 2007, Pages 361-385

  Gómez, Víctor ^a  

^a Ministerio de Economía y Hacienda ^*  (Spain)

Author keywords

Kalman filter; Linear filter; Linear projection; Nonstationarity; Smoothing; Wiener Kolmogorov filter

Indexed keywords

EID: 34247388045     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00514.x     Document Type: Article

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