Augmented Kalman filter (de Jong)

Bibliography

DE JONG P. (1991): “Stable Algorithms For the State Space Model”, Journal of Time Series Analysis, 12, 2, 143-157.

DE JONG P. AND CHU-CHUN-LIN S. (2003): “Smoothing with an Unknown Initial Condition”, Journal of Time Series Analysis, 24, 2, 141-148.

Implementation

The different algorithms linked to khe augmented filter of De Jong are implemented in the classes demetra.ssf.akf.AkfToolkit and the realted classes