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A Synopsis of the Smoothing Formulae Associated with the Kalman Filter

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  • Merkus, H R
  • Pollock, D S G
  • de Vos, A F

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.

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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 6 (1993)
Issue (Month): 3-4 (November)
Pages: 177-200

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Handle: RePEc:kap:compec:v:6:y:1993:i:3-4:p:177-200

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Cited by:
  1. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.

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