Covariances for Smoothed Estimates in State Space Models
基于Ansley和Kohn的固定区间平滑算法证明思路，推导出任意两个时间点平滑估计之间协方差的新公式，比现有特例更简洁。
Ansley & Kohn (1982) presented a novel proof of the fixed interval smoothing algorithm for state space models. In this note the ideas of their proof are used to provide a new formula for the covariance between smoothed estimates at any two points in time. This equation is substantially simpler than existing special cases.