The Annals of Statistics

The Diffuse Kalman Filter

Piet De Jong

Full-text: Open access

Abstract

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.

Article information

Source
Ann. Statist. Volume 19, Number 2 (1991), 1073-1083.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aos/1176348139

JSTOR
links.jstor.org

Digital Object Identifier
doi:10.1214/aos/1176348139

Mathematical Reviews number (MathSciNet)
MR1105863

Zentralblatt MATH identifier
0742.62093

Subjects
Primary: 62M15: Spectral analysis
Secondary: 62M20: Prediction [See also 60G25]; filtering [See also 60G35, 93E10, 93E11] 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx]

Keywords
State space Kalman filter smoothing diffuse nonstationarity likelihood

Citation

Jong, Piet De. The Diffuse Kalman Filter. Ann. Statist. 19 (1991), no. 2, 1073--1083. doi:10.1214/aos/1176348139. http://projecteuclid.org/euclid.aos/1176348139.


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