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Journal of the American Statistical Association Volume 92, 1997 - Issue 440
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Theory and Methods

Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models

Siem Jan Koopman Center, Tilburg University, 5000 LE Tilburg, Netherlands
Pages 1630-1638 | Received 01 Nov 1995, Published online: 17 Feb 2012

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