State space models : univariate representation of a multivariate model, partial interpolation and periodic convergence
This thesis examines several issues that arise from the state space representation of a multivariate time series model. Original proofs of the algorithms for obtaining interpolated estimates of the state and observation vectors from the Kalman filter smoother (KFS) output are presented, particularly...
Main Author: | |
---|---|
Published: |
London School of Economics and Political Science (University of London)
2008
|
Subjects: | |
Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645744 |