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Biometrika 1982 69(2):486-487; doi:10.1093/biomet/69.2.486
© 1982 by Biometrika Trust
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MISCELLANEA

A geometrical derivation of the fixed interval smoothing algorithm

CRAIG F. ANSLEY and ROBERT KOHN

Graduate School of Business, University of Chicago Illinois, U.S.A

The Kalman filter fixed-interval smoothing algorithm is derived from geometrical considerations. This approach is considerably simpler than standard methods.

Key Words: Fixed interval smoothing • Kalman filter


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