Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter
Vı́ctor Gómez, Agustı́n Maravall · Journal of the American Statistical Association · 1994
Victor Gomez, Agustin Maravall, Estimation, Prediction, and Interpolation for Nonstationary Series with the Kalman Filter, Journal of the American Statistical Association, Vol. 89, No. 426 (Jun., 1994), pp. 611-624