Wiener–Kolmogorov Filtering and Smoothing

Víctor Gómez
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Víctor Gómez: Ministerio de Hacienda y Administraciones Públicas Dirección Gral. de Presupuestos, Subdirección Gral. de Análisis y P.E.

Chapter Chapter 7 in Multivariate Time Series With Linear State Space Structure, 2016, pp 449-519 from Springer

Abstract: Abstract This chapter is dedicated to Wiener–Kolmogorov filtering and smoothing. First, the classical Wiener–Kolmogorov formulae are obtained. Then, assuming the data have state space structure, some specialized results for filtering and smoothing are given. The equivalence between Wiener–Kolmogorov and Kalman filtering is established. The last part of the chapter deals with Wiener–Kolmogorov filtering and smoothing in finite samples.

Keywords: Kalman Filter; State Space Model; Finite Sample; Covariance Factorization; Cholesky Decomposition (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-28599-3_7

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