Gagliardini, Patrick; Gourieroux, Christian; Monfort, Alain - Swiss National Centre of Competence in Research North … - 2010
The recursive prediction and filtering formulas of the Kalman filter are difficult to implementin nonlinear state space models. For Gaussian linear state space models, or for models with qualitativestate variables, the recursive formulas of the filter require the updating of a finite number...
