Smoothing with an unknown initial condition

Piet De Jong, Singfat Chu-Chun-Lin

Research output: Contribution to journalReview article

15 Citations (Scopus)

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 languageEnglish
Pages (from-to)141-148
Number of pages8
JournalJournal of Time Series Analysis
Volume24
Issue number2
DOIs
Publication statusPublished - 2003
Externally publishedYes

Keywords

  • Initial condition
  • Kalman filter
  • Smoothing filter
  • State space model

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