A note on implementing the Durbin and Koopman simulation smoother

Marek Jarociński

Computational Statistics & Data Analysis, 2015, vol. 91, issue C, 1-3

Abstract: The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model with a non-zero mean of the initial state and with time-varying intercepts (mean adjustments).

Keywords: State space model; Simulation smoother; Trend output (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: A note on implementing the Durbin and Koopman simulation smoother (2015)
Working Paper: A note on implementing the Durbin and Koopman simulation smoother (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:91:y:2015:i:c:p:1-3

DOI: 10.1016/j.csda.2015.05.001

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