Covariances for smoothed estimates in state space models

Piet De Jong; Murray J. Mackinnon

doi:10.1093/biomet/75.3.601

Covariances for smoothed estimates in state space models

Piet De Jong^*, Murray J. Mackinnon

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

51 Citations (Scopus)

Abstract

Ansley & Kohn (1982) presented a novel proof of the fixed interval smoothing algorithm for state space models. In this note the ideas of their proof are used to provide a new formula for the covariance between smoothed estimates at any two points in time. This equation is substantially simpler than existing special cases.

Original language	English
Pages (from-to)	601-602
Number of pages	2
Journal	Biometrika
Volume	75
Issue number	3
DOIs	https://doi.org/10.1093/biomet/75.3.601
Publication status	Published - Sep 1988
Externally published	Yes

Keywords

Kalman filter
Smoothing
State space model

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10.1093/biomet/75.3.601

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abstract = "Ansley & Kohn (1982) presented a novel proof of the fixed interval smoothing algorithm for state space models. In this note the ideas of their proof are used to provide a new formula for the covariance between smoothed estimates at any two points in time. This equation is substantially simpler than existing special cases.",

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AB - Ansley & Kohn (1982) presented a novel proof of the fixed interval smoothing algorithm for state space models. In this note the ideas of their proof are used to provide a new formula for the covariance between smoothed estimates at any two points in time. This equation is substantially simpler than existing special cases.

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