Abstract
Abstract. Numerically stable algorithms are developed for filtering, likelihood evaluation, generalized least squares computation and smoothing where data are generated by a state space model. The algorithms handle diffuse initial states in a numerically safe way. Singular innovation covariance matrices, such as those which arise in series with missing values, are dealt with. The algorithms generalize stable algorithms for ordinary least‐squares computations.
Original language | English |
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Pages (from-to) | 143-157 |
Number of pages | 15 |
Journal | Journal of Time Series Analysis |
Volume | 12 |
Issue number | 2 |
DOIs | |
Publication status | Published - 1991 |
Externally published | Yes |
Keywords
- diffuse
- Kalman filter
- smoothing
- State space model