Abstract
The smoothing filter is appropriately modified for state space models with an unknown initial condition. Modifications are confined to an initial stretch of the data. An application illustrates procedures.
| Original language | English |
|---|---|
| Pages (from-to) | 141-148 |
| Number of pages | 8 |
| Journal | Journal of Time Series Analysis |
| Volume | 24 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2003 |
| Externally published | Yes |
Keywords
- Initial condition
- Kalman filter
- Smoothing filter
- State space model