Article ID: | iaor200139 |
Country: | Netherlands |
Volume: | 16 |
Issue: | 1 |
Start Page Number: | 59 |
End Page Number: | 69 |
Publication Date: | Jan 2000 |
Journal: | International Journal of Forecasting |
Authors: | Casals Jos, Jerez Miguel, Sotoca Sonia |
Keywords: | Kalman filter |
In this work we derive an analytical relationship between exact fixed-interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result with a conventional smoother we obtain an exact algorithm that can be applied to stationary, non-stationary or partially non-stationary systems. Other advantages of our method are its computational efficiency and numerical stability. Its extension to forecasting, filtering, fixed-point and fixed-lag smoothing is immediate, as it only requires modification of a conditioning information set. Three examples illustrate the adverse effect of an inadequate initialization on smoothed estimates.