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

Siem Jan Koopman and James Durbin

Journal of Time Series Analysis, 2003, vol. 24, issue 1, 85-98

Abstract: Abstract. 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.

Date: 2003
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