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 |
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Pages (from-to) | 601-602 |
Number of pages | 2 |
Journal | Biometrika |
Volume | 75 |
Issue number | 3 |
DOIs | |
Publication status | Published - Sep 1988 |
Externally published | Yes |
Keywords
- Kalman filter
- Smoothing
- State space model