Journal article
The reverse kalman filter
Communications in Statistics - Theory and Methods, Vol.27(10), pp.2547-2558
1998
Abstract
Equations for the reverse Kalman filter are provided. This enables calculation of the distribution of the state given the future data in the state space representation of a time series model. This complements the conventional Kalman filter recursions for the distribution of the state given the past data. The usefulness of these two recursions is demonstrated by showing how they can be combined to efficiently calculate leave-k-out diagnostics or the likelihood under a model incorporating a patch of anomalies in a time series.
Details
- Title
- The reverse kalman filter
- Authors/Creators
- R.H. Taplin (Author/Creator)
- Publication Details
- Communications in Statistics - Theory and Methods, Vol.27(10), pp.2547-2558
- Publisher
- Marcel Dekker Inc.
- Identifiers
- 991005540584507891
- Copyright
- © 1998 by Marcel Dekker, Inc.
- Murdoch Affiliation
- School of Mathematical and Physical Sciences
- Language
- English
- Resource Type
- Journal article
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- Citation topics
- 9 Mathematics
- 9.92 Statistical Methods
- 9.92.220 Robust Estimation
- Web Of Science research areas
- Statistics & Probability
- ESI research areas
- Mathematics