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Quantitative Finance · Glosarium

Apa itu Kalman smoother?

Definition 19.7 Quantitative Methods · Bab 19 — State-Space Models and the Kalman Filter

The Kalman smoother computes E[αt∣y1,…,yn]\E[\alpha_t \mid y_1, \dots, y_n] and its variance from the filter’s output by a backward pass (Rauch, Tung and Striebel, 1965): α^t=at∣t+Jt(α^t+1−at+1)\hat\alpha_t = a_{t|t} + J_t(\hat\alpha_{t+1} - a_{t+1}) with Jt=Pt∣tT⊤Pt+1−1J_t = P_{t|t}T^\top P_{t+1}^{-1}.

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