The Kalman smoother computes and its variance from the filter’s output by a backward pass (Rauch, Tung and Striebel, 1965): with .
Quantitative Finance · Glosarium
Quantitative Finance · Glosarium
The Kalman smoother computes and its variance from the filter’s output by a backward pass (Rauch, Tung and Striebel, 1965): with .