ON USE OF THE KALMAN FILTER FOR SPATIAL SMOOTHING

Authors
KASHIWAGI N
Citation
N. Kashiwagi, ON USE OF THE KALMAN FILTER FOR SPATIAL SMOOTHING, Annals of the Institute of Statistical Mathematics, 45(1), 1993, pp. 21-34
Citations number
9
Categorie Soggetti
Statistic & Probability",Mathematics,"Statistic & Probability
Journal title
Annals of the Institute of Statistical Mathematics → ACNP
ISSN journal
00203157
Volume
45
Issue
1
Year of publication
1993
Pages
21 - 34
Database
ISI
SICI code
0020-3157(1993)45:1<21:OUOTKF>2.0.ZU;2-Y
Abstract
A state-space model to perform discrete thin plate smoothing for data on a two-dimensional rectangular lattice is proposed with the use of t he Kalman filter. The use of the Kalman filter reduces computational d ifficulties in the maximum likelihood estimation of a smoothing parame ter. A procedure to reduce computational difficulties in the estimatio n of trend is given also. Numerical illustration is provided using two sets of artificial data.