Fast filtering and smoothing for multivariate state space models

S.J.M. Koopman, J. Durbin

Research output: Contribution to journal › Article › Scientific › peer-review

Original language	English
Pages (from-to)	281-296
Number of pages	15
Journal	Journal of Time Series Analysis
Volume	21
Publication status	Published - 2000

Cite this

@article{6cb290c6d63a452faebf4bf7c0ff165b,

title = "Fast filtering and smoothing for multivariate state space models",

author = "S.J.M. Koopman and J. Durbin",

note = "DP 9818 Pagination: 15",

year = "2000",

language = "English",

volume = "21",

pages = "281--296",

journal = "Journal of Time Series Analysis",

issn = "0143-9782",

publisher = "Wiley-Blackwell",

}