SMOOTHING WITH AN UNKNOWN INITIAL CONDITION

Piet De Jong and Singfat Chu‐Chun‐Lin

Journal of Time Series Analysis, 2003, vol. 24, issue 2, 141-148

Abstract: Abstract. The smoothing filter is appropriately modified for state space models with an unknown initial condition. Modifications are confined to an initial stretch of the data. An application illustrates procedures.

Date: 2003
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