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The reverse kalman filter

Taplin, R.H. (1998) The reverse kalman filter. Communications in Statistics - Theory and Methods, 27 (10). pp. 2547-2558.

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Equations for the reverse Kalman filter are provided. This enables calculation of the distribution of the state given the future data in the state space representation of a time series model. This complements the conventional Kalman filter recursions for the distribution of the state given the past data. The usefulness of these two recursions is demonstrated by showing how they can be combined to efficiently calculate leave-k-out diagnostics or the likelihood under a model incorporating a patch of anomalies in a time series.

Item Type: Journal Article
Murdoch Affiliation(s): School of Mathematical and Physical Sciences
Publisher: Marcel Dekker Inc.
Copyright: © 1998 by Marcel Dekker, Inc.
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