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Biometrika 1984 71(3):648-650; doi:10.1093/biomet/71.3.648
© 1984 by Biometrika Trust
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MISCELLANEA

A note on Kalman filtering for the seasonal moving average model

ROBERT KOHN and CRAIG F. ANSLEY

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

We show that if we apply the Kalman filter to a pure seasonal moving average model with no missing observations, then, by using a result of Ansley (1979), we can obtain significant computational savings.

Key Words: Kalman lilter • Likelihood • Moving average • Seasonal model


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