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Wiener–Kolmogorov Filtering and Smoothing

In: Multivariate Time Series With Linear State Space Structure

Author

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  • Víctor Gómez

    (Ministerio de Hacienda y Administraciones Públicas Dirección Gral. de Presupuestos, Subdirección Gral. de Análisis y P.E.)

Abstract

This chapter is dedicated to Wiener–Kolmogorov filtering and smoothing. First, the classical Wiener–Kolmogorov formulae are obtained. Then, assuming the data have state space structure, some specialized results for filtering and smoothing are given. The equivalence between Wiener–Kolmogorov and Kalman filtering is established. The last part of the chapter deals with Wiener–Kolmogorov filtering and smoothing in finite samples.

Suggested Citation

  • Víctor Gómez, 2016. "Wiener–Kolmogorov Filtering and Smoothing," Springer Books, in: Multivariate Time Series With Linear State Space Structure, chapter 0, pages 449-519, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-28599-3_7
    DOI: 10.1007/978-3-319-28599-3_7
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