Title of article
Filtering and smoothing of state vector for diffuse state-space models
Author/Authors
Koopman، S. J. نويسنده , , Durbin، J. نويسنده ,
Issue Information
دوماهنامه با شماره پیاپی سال 2003
Pages
-84
From page
85
To page
0
Abstract
This paper presents exact recursions for calculating the mean and mean square error matrix of the state vector given the observations for the multi-variate linear Gaussian state-space model in the case where the initial state vector is (partially) diffuse.
Keywords
Space time bilinear model , multiple bilinear time series , maximum likelihood estimation , STBL , STARMA , Spatial statistics
Journal title
Journal of Time Series Analysis
Serial Year
2003
Journal title
Journal of Time Series Analysis
Record number
73363
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