THE DIFFUSE KALMAN FILTER

• 成果类型: Article
• 署名作者: DEJONG, P
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1991
• 页码: 1073-1083
• 关键词: state-space model; regression-models; time-series; interpolation; likelihood; prediction

摘要

The Kalman recursion for state space models is extended to allow for likelihood evaluation and minimum mean square estimation given states with an arbitrarily large covariance matrix. The extension is computationally minor. Application is made to likelihood evaluation, state estimation, prediction and smoothing.