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

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Year of publication:	2003
Authors:	Koopman, Siem Jan ; Durbin, J.
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Innovationsdiffusion \| Innovation diffusion \| Zustandsraummodell \| State space model

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014087925