Fixed interval estimation in state space models when some of the data are missing or aggregated
Robert Kohn, Craig F. Ansley · Biometrika · 1983
Ansley & Kohn's (1982) geomertical derivation of the Kalman filter fixed-interval smoothing algorthm is extended to the case where some of the observations are missing or aggregated and the state covariance matrix may be singular. Estimates of missing observations are also obtained. The theory is then applied to the interpolation of missing data in mulativariate autoregressive-moving average modles.