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...
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London School of Economics and Political Science (University of London)
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645744 |