THE TWO-FILTER FORMULA FOR SMOOTHING AND AN IMPLEMENTATION OF THE GAUSSIAN-SUM SMOOTHER

@inproceedings{Kitagawa2004THETF,
  title={THE TWO-FILTER FORMULA FOR SMOOTHING AND AN IMPLEMENTATION OF THE GAUSSIAN-SUM SMOOTHER},
  author={Genshiro Kitagawa},
  year={2004}
}
A Gaussian-sum smoother is developed based on the two filter formula for smoothing. This facilitates the application of non-Gaussian state space modeling to diverse problems in time series analysis. It is especially useful when a higher order state vector is required and the application of the nonGaussian smoother based on direct numerical computation is impractical. In particular, applications to the non-Gaussian seasonal adjustment of economic time series and to the modeling of seasonal time… CONTINUE READING

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