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

This paper presents exact recursions for calculating the mean and mean square error matrix of the state vector given the observations for the multi-variate linear Gaussian state-space model in the case where the initial state vector is (partially) diffuse. Copyright 2003 Blackwell Publishing Ltd.

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Year of publication:	2003
Authors:	Koopman, S. J. ; Durbin, J.
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 1, p. 85-98
Publisher:	Wiley Blackwell

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260750