Exact Score for Time Series Models in State Space Form
本文证明了高斯状态空间模型的得分向量具有简单形式，可通过一次卡尔曼滤波和平滑计算得到，对统计建模和算法优化有用。
This paper shows that the score vector for Gaussian state space models takes on a simple form which can be computed in a single pass of the Kalman filter and a smoother.