This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Filtering and smoothing of state vector for diffuse state-space models

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
S. J. Koopman
J. Durbin

Additional information is available for the following registered author(s):

Abstract

This paper presents exact recursions for calculating the mean and mean square error matrix of the state vector given the observations for the multi-variate linear Gaussian state-space model in the case where the initial state vector is (partially) diffuse. Copyright 2003 Blackwell Publishing Ltd.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=jtsa&volume=24&issue=1&year=2003&part=null
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 24 (2003)
Issue (Month): 1 (01)
Pages: 85-98
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jtsera:v:24:y:2003:i:1:p:85-98

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Maarten Dossche & Gerdie Everaert, 2005. "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005 459, Society for Computational Economics. [Downloadable!]
    Other versions:
  2. Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute. [Downloadable!]
  3. T. Berger & G. Everaert, 2006. "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/383, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  4. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute. [Downloadable!]
  5. Siem Jan Koopman & Kai Ming Lee, 2008. "Seasonality with Trend and Cycle Interactions in Unobserved Components Models," Tinbergen Institute Discussion Papers 08-028/4, Tinbergen Institute. [Downloadable!]
Statistics
Access and download statistics

Did you know? IDEAS also computes impact factors for journals and working paper series.

This page was last updated on 2008-7-15.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.