Smoothing and interpolation with the state-space model

Piet De Jong

doi:10.1080/01621459.1989.10478876

Smoothing and interpolation with the state-space model

Piet De Jong^*

^*Corresponding author for this work

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

120 Citations (Scopus)

Abstract

A new result dealing with smoothing and interpolation in the state-space model is developed and explored. The result simplifies the derivation of existing smoothing algorithms and provides alternate forms that have analytic and practical computing advantages. The connection to signal extraction and interpolation is explored, and diffuse specifications are considered.

Original language	English
Pages (from-to)	1085-1088
Number of pages	4
Journal	Journal of the American Statistical Association
Volume	84
Issue number	408
DOIs	https://doi.org/10.1080/01621459.1989.10478876
Publication status	Published - 1989
Externally published	Yes

Keywords

Kalman filter

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10.1080/01621459.1989.10478876

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title = "Smoothing and interpolation with the state-space model",

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Smoothing and interpolation with the state-space model

Abstract

Keywords

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