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.
|Number of pages||4|
|Journal||Journal of the American Statistical Association|
|Publication status||Published - 1989|
- Kalman filter