A Synopsis of the Smoothing Formulae Associated with the Kalman Filter
H R Merkus,
David Pollock () and
Aart de Vos
Computational Economics, 1993, vol. 6, issue 3-4, 177-200
Abstract:
This paper provides straightforward derivations of a wide variety of smoothing formulae which are associated with the Kalman filter. The smoothing operations are of perennial interest in the fields of communications engineering and signal processing. Recently they have begun to interest statisticians and economists. It is often asserted that it is tedious and difficult to derive the formulae. We show that this need not be so. Citation Copyright 1993 by Kluwer Academic Publishers.
Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (1)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Working Paper: A synopsis of the smoothing formulae associated with the Kalman Filter (1991) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:6:y:1993:i:3-4:p:177-200
Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2
Access Statistics for this article
Computational Economics is currently edited by Hans Amman
More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().