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June, 1991 The Diffuse Kalman Filter
Piet De Jong
Ann. Statist. 19(2): 1073-1083 (June, 1991). DOI: 10.1214/aos/1176348139

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.

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Piet De Jong. "The Diffuse Kalman Filter." Ann. Statist. 19 (2) 1073 - 1083, June, 1991. https://doi.org/10.1214/aos/1176348139

Information

Published: June, 1991
First available in Project Euclid: 12 April 2007

zbMATH: 0742.62093
MathSciNet: MR1105863
Digital Object Identifier: 10.1214/aos/1176348139

Subjects:
Primary: 62M15
Secondary: 60G35, 62M20

Rights: Copyright © 1991 Institute of Mathematical Statistics

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Vol.19 • No. 2 • June, 1991
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