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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
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.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Stephen Pollock, 2002.
"Recursive Estimation in Econometrics,"
462, Queen Mary, University of London, School of Economics and Finance.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.