STABLE ALGORITHMS FOR THE STATE SPACE MODEL
- 1 March 1991
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 12 (2) , 143-157
- https://doi.org/10.1111/j.1467-9892.1991.tb00074.x
Abstract
Numerically stable algorithms are developed for filtering, likelihood evaluation, generalized least squares computation and smoothing where data are generated by a state space model. The algorithms handle diffuse initial states in a numerically safe way. Singular innovation covariance matrices, such as those which arise in series with missing values, are dealt with. The algorithms generalize stable algorithms for ordinary least‐squares computations.Keywords
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