The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother

Genshiro Kitagawa

Annals of the Institute of Statistical Mathematics, 1994, vol. 46, issue 4, 605-623

Keywords: Non-Gaussian smoother; non-Gaussian filter; Gaussian mixture; nonstationary time series; outliers; seasonal adjustment (search for similar items in EconPapers)
Date: 1994
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DOI: 10.1007/BF00773470

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