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 |
|---|---|
| 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