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 InfoPaper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0079.
Date of creation: 1991
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Other versions of this item:
- Merkus, H R & Pollock, D S G & de Vos, A F, 1993. "A Synopsis of the Smoothing Formulae Associated with the Kalman Filter," Computational Economics, Society for Computational Economics, vol. 6(3-4), pages 177-200, November.
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- Stephen Pollock, 2002.
"Recursive Estimation in Econometrics,"
462, Queen Mary, University of London, School of Economics and Finance.
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