A Synopsis of the Smoothing Formulae Associated with the Kalman Filter
AbstractThis 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 InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 6 (1993)
Issue (Month): 3-4 (November)
Other versions of this item:
- Merkus, H.R. & Pollock, D.S.G. & Vos, A.F., 1991. "A synopsis of the smoothing formulae associated with the Kalman Filter," Serie Research Memoranda 0079, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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- Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
- Stephen Pollock, 2002. "Recursive Estimation in Econometrics," Working Papers 462, Queen Mary, University of London, School of Economics and Finance.
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