Kalman filter Model

Reference sources

Reference material used for orientation; read primary and academic sources first when claims conflict.

1. [S1] Reference

   Kalman (1960) derived the optimal linear recursive filter for Gaussian state-space models.

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2. [S2] Reference

   Rauch, Tung, and Striebel (1965) developed the fixed-interval smoother (backward pass after the forward filter).

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3. [S3] Reference

   Harvey (1989) brought the Kalman filter into mainstream econometrics, showing how UCMs, ARIMA, and structural time-series models all fit the state-space framework.

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4. [S4] Reference

   Hamilton (1994, Chapter 13) provided a textbook treatment connecting the Kalman filter to time-series econometrics.

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5. [S5] Reference

   Durbin and Koopman (2012) gave a comprehensive treatment of state-space methods including diffuse initialization, missing data, and simulation smoothing.

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6. [S6] Reference

   Anderson and Moore (1979) established the control-theoretic foundations: observability, controllability, and filter convergence.

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7. [S7] Reference

   De Jong (1991) developed the diffuse Kalman filter for non-stationary initial conditions.

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