A general fixed-interval smoother with exact initial conditions
In this work we derive a relationship between tbe exact fixed-interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result witbh a conventional smoother we obtain a new algoritbm with exact initial conditions, that can be applied to stationary, nonstat...
| Autores: | , , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 1998 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/64205 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/64205 |
| Access Level: | acceso abierto |
| Palabra clave: | State-space models Nonstationarity Stochastic inputs Kalman filter. Econometría (Economía) 5302 Econometría |
| Sumario: | In this work we derive a relationship between tbe exact fixed-interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result witbh a conventional smoother we obtain a new algoritbm with exact initial conditions, that can be applied to stationary, nonstationary or partially nonstationary systems, with deterministic and/or stochastic inputs. Besides an easy analytical derivation, other advantages of this smoother are its computational efficiency and numerical stability. |
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