1 citations · 2 across the 7 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
stat.CO2023
Revisiting the Two-Filter Formula for Smoothing for State-Space Models
G. Kitagawa
Smoothing algorithms for state-space models, i.e., fixed-interval smoothing, fixed-lag smoothing, and two-filter formula for smoothing, are examined using real examples. For linear…
stat.CO2023
A Note on the Relation Between Balenzela's Algorithm for Two-Filter Formula for Smoothing and Information Filter
G. Kitagawa
Recent paper by Balenzuela et al. presented an exact algorithm for computing the posterior distribution of current and future observations given the current state, $p(x_n|y_n,\ldot…