DISTURBANCE SMOOTHER FOR STATE-SPACE MODELS

This paper develops a method to evaluate the smoothed estimator of the disturbance vector in a state space model together with its mean squa red error matrix. This disturbance smoother also leads to an efficient smoother for the state vector. Applications include a method to calcu late auxiliary residuals for unobserved components time series models and an EM algorithm for estimating covariance parameters in a state sp ace model.