A Chandrasekhar type square root smoother for the Bayesian decomposition of a time series

Elisabetta Alvoni; Corrado Corradi

doi:10.6092/issn.1973-2201/792

A Chandrasekhar type square root smoother for the Bayesian decomposition of a time series

Authors

Elisabetta Alvoni Alma Mater Studiorum - Università di Bologna
Istituto di Matematica generale e Finanziaria
Corrado Corradi Alma Mater Studiorum - Università di Bologna
Istituto di Matematica generale e Finanziaria

DOI:

https://doi.org/10.6092/issn.1973-2201/792

Abstract

In this note a Chandrasekhar square root information two filter smoother is presented, with application to time series decomposition. It is shown that it yields a computational gain over the usual smoothing formulas based on the Riccati equation, while having the same storage requirement.

How to Cite

Alvoni, E., & Corradi, C. (1989). A Chandrasekhar type square root smoother for the Bayesian decomposition of a time series. Statistica, 49(2), 219–224. https://doi.org/10.6092/issn.1973-2201/792