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State space models with diffuse initial conditions #39

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fipelle opened this issue Jul 21, 2022 · 1 comment
Open

State space models with diffuse initial conditions #39

fipelle opened this issue Jul 21, 2022 · 1 comment
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enhancement New feature or request

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@fipelle
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fipelle commented Jul 21, 2022

Add a simple implementation to handle state space models with diffuse initial conditions.

@fipelle fipelle added the enhancement New feature or request label Jul 21, 2022
@fipelle fipelle changed the title Diffuse Kalman filter and smoother State space models with diffuse initial conditions Jul 22, 2022
@fipelle
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fipelle commented Jul 27, 2022

@azev77 I have implemented the so-called sequential / univariate approach to Kalman filtering and smoothing. This approach is used instead of the default filtering / smoothing by default if the covariance of the measurement errors is a UniformScaling{Float64}. I am planning to extend it to handle the exact diffuse initialisation in Durbin and Koopman (2000).

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