Fixed Interval Smoothing for State Space Models

Fixed-interval smoothing is a method of extracting useful information from inaccurate data. This monograph addresses problems for which a linear stochastic stat... » 

Fixed-interval smoothing is a method of extracting useful information from inaccurate data. This monograph addresses problems for which a linear stochastic state space model is available. It also includes new material on interpolation, fast square root implementations, and boundary value models. «