Smoothing and interpolation with the state-space model

Piet De Jong*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

113 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 languageEnglish
Pages (from-to)1085-1088
Number of pages4
JournalJournal of the American Statistical Association
Volume84
Issue number408
DOIs
Publication statusPublished - 1989
Externally publishedYes

Keywords

  • Kalman filter

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