Influence of the kalman filter for state space modelling

Abstract

A Kalman filter, suitable for application to a stationary or a non-stationary time series, is proposed. It works on time series with missing values. It can be also used on seasonal time series where the associated state space model may not satisfy the traditional observability condition. A new concept is introduced and used throughout the paper to simplify the specification of the Kalman filter. It is an aggregate of means, variances, covariances and other information needed to define the state of a system at a given point in time. By working with this aggregate, the algorithm is specified without direct recourse to those relatively complex formulae for calculating associated means and variances, normally found in traditional expositions of the Kalman filter.