The Diffuse Kalman Filter
Jong, Piet De
Ann. Statist., Tome 19 (1991) no. 1, p. 1073-1083 / Harvested from Project Euclid
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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.
Publié le : 1991-06-14
Classification:  State space,  Kalman filter,  smoothing,  diffuse,  nonstationarity,  likelihood,  62M15,  62M20,  60G35 
@article{1176348139,
     author = {Jong, Piet De},
     title = {The Diffuse Kalman Filter},
     journal = {Ann. Statist.},
     volume = {19},
     number = {1},
     year = {1991},
     pages = { 1073-1083},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176348139}
}

Jong, Piet De. The Diffuse Kalman Filter. Ann. Statist., Tome 19 (1991) no. 1, pp.  1073-1083. http://gdmltest.u-ga.fr/item/1176348139/