Smoothing and Interpolation with the State-Space Model
- 1 December 1989
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 84 (408) , 1085
- https://doi.org/10.2307/2290087
Abstract
A new result dealing with smoothing and interpolation in the state-space model is developed and explored. The result simplifies the derivation of existing smoothing algorithms and provides alternate forms that have analytic and practical computing advantages. The connection to signal extraction and interpolation is explored, and diffuse specifications are considered.Keywords
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