SMOOTHING WITH AN UNKNOWN INITIAL CONDITION

The smoothing filter is appropriately modified for state space models with an unknown initial condition. Modifications are confined to an initial stretch of the data. An application illustrates procedures. Copyright 2003 Blackwell Publishing Ltd.

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Year of publication:	2003
Authors:	Jong, Piet de ; Chu-Chun-Lin, Singfat
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 2, p. 141-148
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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