A note on implementing the Durbin and Koopman simulation smoother

By Jarocinski Marek
Computational Statistics and Data Analysis (2015)

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Abstract

The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and claried for both the basic state space model and for its extension that allows time-varying intercepts (mean adjustments).

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Suggested citation

Jarocinski M. (2015) A note on implementing the Durbin and Koopman simulation smoother. Computational Statistics and Data Analysis, 91, 1-3.

See paper