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The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother. (English) Zbl 0822.62080
Summary: 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 non-Gaussian 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 series with several outliers are shown.

62M20 Inference from stochastic processes and prediction
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
Full Text: DOI
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