Fast Filtering and Smoothing for Multivariate State Space Models

Siem Jan Koopman and James Durbin

Other publications TiSEM from Tilburg University, School of Economics and Management

Date: 1998
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Related works:
Journal Article: Fast Filtering and Smoothing for Multivariate State Space Models (2000)
Working Paper: Fast Filtering and Smoothing for Multivariate State Space Models (1998)
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