Ruiz-Cárdenas, Ramiro; Krainski, Elias T.; Rue, Håvard - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1808-1828
Inference in state-space models usually relies on recursive forms for filtering and smoothing of the state vectors regarding the temporal structure of the observations, an assumption that is, from our view point, unnecessary if the dataset is fixed, that is, completely available before analysis....