Smith, Jim Q.; Freeman, G. - In: Journal of Forecasting 30 (2011) 1, pp. 210-224
Over the last 50 years there has been an enormous explosion in developing full distributional analogues of the Kalman filter. In this paper we explore how some of the second-order processes discovered by Kalman have their analogues in Bayesian state space models. Many of the analogues in the...