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A note on implementing the Durbin and Koopman simulation smoother

Jarocinski, Marek (2014): A note on implementing the Durbin and Koopman simulation smoother.

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Abstract

The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model and for its extension that allows time-varying intercepts (mean adjustments).

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