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Filtering, smoothing and forecasting

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0004
Subject:
Mathematics, Probability / Statistics

This chapter begins with a set of four lemmas from elementary multivariate regression which provides the essentials of the theory for the general linear state space model from both a classical and a ... More


Initialisation of filter and smoother

J. Durbin and S.J. Koopman

in Time Series Analysis by State Space Methods: Second Edition

Published in print:
2012
Published Online:
December 2013
ISBN:
9780199641178
eISBN:
9780191774881
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199641178.003.0005
Subject:
Mathematics, Probability / Statistics

Computational algorithms in state space analyses are mainly based on recursions, that is, formulae in which the value at time t + 1 is calculated from earlier values for t, t − 1, …, 1. This chapter ... More


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