Abstract
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.
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Kitagawa, G. The two-filter formula for smoothing and an implementation of the Gaussian-sum smoother. Ann Inst Stat Math 46, 605–623 (1994). https://doi.org/10.1007/BF00773470
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DOI: https://doi.org/10.1007/BF00773470