文章基本信息

标题：A Chandrasekhar type square root smoother for the Bayesian decomposition of a time series
作者：Elisabetta Alvoni ; Corrado Corradi
期刊名称：Statistica
印刷版ISSN：1973-2201
出版年度：1989
卷号：49
期号：2
页码：219-224
DOI：10.6092/issn.1973-2201/792
语种：English
出版社：Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
摘要：In this note a Chandrasekhar square root information two filter smoother is presented, with application to time series decomposition. It is shown that it yields a computational gain over the usual smoothing formulas based on the Riccati equation, while having the same storage requirement.