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Topic: Kalman Filter with Diffuse Initial State
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Luching Mazini

Posts: 12
Registered: 1/15/12
Kalman Filter with Diffuse Initial State
Posted: Apr 10, 2013 2:33 PM
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Does anyone have codes for the exact Kalman Filter of Durbin and Koopman? The "exact" version deals with the case when the state is non-stationary and starts with an initialization that is diffuse. Thanks.

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