Kalman Filtering with Partially Diffuse Initial Conditions

Ralph D. Snyder

No 266882, Department of Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: In this paper a square root algorithm is proposed for estimating linear state space models. A particular feature of the approach is that it contains special provisions for nonstationary time series with incompletely specified initial conditions. It differs from earlier approaches to the problem in that an additional property of the covariance matrix of the state estimation error vector is exploited to further reduce storage requirements and computatational loads in computer implementations.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 15
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monebs:266882

DOI: 10.22004/ag.econ.266882

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